Search Results - subject:"Multiplicative error model"

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an …

Persistent link: https://www.econbiz.de/10010281483

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Center for Financial Studies - 2010

. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates …

Persistent link: https://www.econbiz.de/10010958666

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an …

Persistent link: https://www.econbiz.de/10008727350

Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets

Barigozzi, Matteo; Brownlees, Christian T.; Gallo, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2010

around which individual risks cluster. In this article we propose a vector Multiplicative Error Model achieving a …

Persistent link: https://www.econbiz.de/10008606496

Modeling Volatility in Foreign Currency Option Pricing

Hoque, Ariful; Chan, Felix; Manzur, Meher - In: Multinational Finance Journal 13 (2009) 3-4, pp. 189-208

currencies, including Euro. The forecast performance of this framework is compared with those of the Multiplicative Error Model …

Persistent link: https://www.econbiz.de/10010937155

Realising the future: forecasting with high frequency based volatility (HEAVY) models

Shephard, Neil; Sheppard, Kevin - Department of Economics, Oxford University - 2009

This paper studies in some detail a class of high frequency based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data. Our analysis identifies that the models have momentum and mean...

Persistent link: https://www.econbiz.de/10005007822

Automated Variable Selection in Vector Multiplicative Error Models

Cipollini, Fabrizio; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2009

Multiplicative Error Models (MEM) can be used to trace the dynamics of non–negative valued processes. Interactions between several such processes are accommodated by the vector MEM and estimated by maximum likelihood (Gamma marginals with copula functions) or by Generalized Method of Moments....

Persistent link: https://www.econbiz.de/10005731539

Semiparametric vector MEM

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2009

of conditionally autoregressive scale factors and a multivariate iid innovation process (vector Multiplicative Error … Model). Two novel points are introduced in this paper relative to previous suggestions: a more general specification which …

Persistent link: https://www.econbiz.de/10005731543

Realising the future: forecasting with high frequency based volatility (HEAVY) models

Shephard, Neil; Sheppard, Kevin - Economics Group, Nuffield College, University of Oxford - 2009

Persistent link: https://www.econbiz.de/10008469674

Mencía, Javier; Sentana, Enrique - C.E.P.R. Discussion Papers - 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/10011186623