Search Results - subject:"Multiplicative error model"

Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis : an MEM approach

Xu, Yongdeng; Taylor, Nicholas; Lu, Wenna - 2018

illiquidity across national borders has not. In this paper, we propose a multiplicative error model (MEM) for the dynamics of …

Persistent link: https://www.econbiz.de/10011886097

Bootstrap based probability forecasting in multiplicative error models

Perera, Indeewara; Silvapulle, Mervyn J. - In: Journal of econometrics 221 (2021) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012618609

A bootstrap approach for Generalized Autocontour testing Implications for VIX forecast densities

Mazzeu, João Henrique Gonçalves; González-Rivera, Gloria - In: Econometric reviews 39 (2020) 10, pp. 971-990

Persistent link: https://www.econbiz.de/10012406197

Mencía González, Javier; Sentana, Enrique - 2015

Error Model to capture the mean reversion typical in positive but stationary fi nancial time series. Finally, we carry out … feasible moments of positive random variables. Then we combine those expansions with a component version of the Multiplicative …

Persistent link: https://www.econbiz.de/10012530466

Mencía, Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2015

a component version of the Multiplicative Error Model to capture the mean reversion typical in positive but stationary …

Persistent link: https://www.econbiz.de/10011191446

Testing the predict power of VIX : an application of multiplicative error model

Azevedo, Luis Fernando Pereira; Pereira, Pedro L. Valls - In: Revista Brasileira de Finanças : RBFin 13 (2015) 4, pp. 571-630

Persistent link: https://www.econbiz.de/10011585649

Mencía, Javier; Sentana, Enrique - 2015

Persistent link: https://www.econbiz.de/10011795961

Chasing Volatility. A Persistent Multiplicative Error Model With Jumps

Caporin, Massimiliano; Rossi, Eduardo; Magistris, Paolo … - Dipartimento di Scienze Economiche "Marco Fanno", … - 2014

increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is …

Persistent link: https://www.econbiz.de/10011123413

Chasing volatility - A persistent multiplicative error model with jumps

Caporin, Massimiliano; Rossi, Eduardo; Magistris, Paolo … - School of Economics and Management, University of Aarhus - 2014

increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is …

Persistent link: https://www.econbiz.de/10010892069

Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Barigozzi, Matteo; Brownlees, Christian T.; Gallo, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2014

Realized volatilities measured on several assets exhibit a common secular trend and some idiosyncratic pattern. We accommodate such an empirical regularity extending the class of Multiplicative Error Models (MEMs) to a model where the common trend is estimated nonparametrically while the...

Persistent link: https://www.econbiz.de/10010862525