Search Results - subject:"Multiplicative Error Models"

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Hautsch, Nikolaus - Center for Financial Studies - 2007

We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...

Persistent link: https://www.econbiz.de/10010958610

Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model

Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

and is driven by its own dynamics according to (6). The SMEM is an extension of the multiplicative error models of Engle … error models, common factor, efficient importance sampling, intraday trading process JEL Classification: C15, C32, C52 1 … common shocks affect the return volatility and the trading volume rather than the trading intensity. Keywords: Multiplicative …

Persistent link: https://www.econbiz.de/10005677990

On the Interaction between Ultra–high Frequency Measures of Volatility

Gallo, Giampiero; Velucchi, Margherita - Dipartimento di Statistica, Informatica, Applicazioni … - 2007

We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as estimators of integrated variance of a continuous time stochastic process for an asset price. We use a Multiplicative Error Model to describe the evolution of each measure as the product...

Persistent link: https://www.econbiz.de/10005812866

Joint Modeling of Call and Put Implied Volatility

Ahoniemi, Katja; Lanne, Markku - Volkswirtschaftliche Fakultät, … - 2007

This paper exploits the fact that implied volatilities calculated from identical call and put options have often been empirically found to differ, although they should be equal in theory. We propose a new bivariate mixture multiplicative error model and show that it is a good fit to Nikkei 225...

Persistent link: https://www.econbiz.de/10005260039

A spillover analysis of shocks from US, UK and China on African financialmarkets

Giovannetti, Giorgia; Velucchi, Margherita - In: Review of development finance 3 (2013) 4, pp. 169-179

Persistent link: https://www.econbiz.de/10010230737

High-frequency volatility and liquidity

Hautsch, Nikolaus; Jeleskovic, Vahidin - In: Applied quantitative finance, (pp. 379-397). 2009

Persistent link: https://www.econbiz.de/10003746425