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Volatility comovement: a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai J.; Thompson, Samuel B. - In: Journal of econometrics 131 (2006) 1, pp. 179-216

Persistent link: https://www.econbiz.de/10006747794

Volatility Comovement: A Multifrequency Approach

Calvet, Laurent E.; Fisher, Adlai Julian; Thompson, … - National Bureau of Economic Research (NBER) - 2004

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004)....

Persistent link: https://www.econbiz.de/10005725332

Volatility comovement: a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai J.; Thompson, Samuel B. - In: Journal of Econometrics 131 (2006) 1-2, pp. 179-215

Persistent link: https://www.econbiz.de/10005192787

Volatility comovement: a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai; Thompson, Samuel B. - In: Journal of econometrics 131 (2006) 1/2, pp. 179-215

Persistent link: https://www.econbiz.de/10003298573

Volatility Comovement : A Multifrequency Approach

Calvet, Laurent E.; Fisher, Adlai; Thompson, Samuel B. - 2021

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004)....

Persistent link: https://www.econbiz.de/10013231009

Volatility Comovement : A Multifrequency Approach

Calvet, Laurent E. - 2004

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004)....

Persistent link: https://www.econbiz.de/10012467993

Volatility Comovement : A Multifrequency Approach

Calvet, Laurent E. - 2013

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004)....

Persistent link: https://www.econbiz.de/10012712025

Volatility comovement : a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai; Thompson, Samuel B. - 2004

Persistent link: https://www.econbiz.de/10002195944

Optimal versus robust inference in nearly integrated non-Gaussian models

Thompson, Samuel B. - In: Econometric theory 20 (2004) 1, pp. 23-55

Persistent link: https://www.econbiz.de/10001904742

Simple formulas for standard errors that cluster by both firm and time

Thompson, Samuel B. - In: Journal of financial economics 99 (2011) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10009241579

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