Volatility Comovement: a multifrequency approach
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DOI: 10.1016/j.jeconom.2005.01.008
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Other versions of this item:
- Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006. "Volatility comovement: a multifrequency approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
- Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc.
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More about this item
Keywords
Multivariate MSM; Maximum likelihood; Particle filter; Markov-switching; Stochastic volatility; Multifrequency volatility decomposition; Value-at-risk; Quantile forecasts;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Statistics
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