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A Mixture Multiplicative Error Model for Realized Volatility
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Cited by:
- Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang K., 2014. "TVICA—Time varying independent component analysis and its application to financial data," Computational Statistics & Data Analysis, Elsevier, vol. 74(C), pages 95-109.
- Ng, F.C. & Li, W.K. & Yu, Philip L.H., 2016. "Diagnostic checking of the vector multiplicative error model," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 86-97.
- Driton Kuçi, 2015. "Contemporary Models of Organization of Power and the Macedonian Model of Organization of Power," European Journal of Interdisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, September.
- Heejoon Han & Myung D. Park & Shen Zhang, 2015. "A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 209-219, April.
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Abdelhakim Aknouche & Bader Almohaimeed & Stefanos Dimitrakopoulos, 2022. "Periodic autoregressive conditional duration," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 5-29, January.
- Naimoli, Antonio & Storti, Giuseppe, 2019.
"Heterogeneous component multiplicative error models for forecasting trading volumes,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1332-1355.
- Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," MPRA Paper 93802, University Library of Munich, Germany.
- Andres, Philipp, 2014. "Maximum likelihood estimates for positive valued dynamic score models; The DySco package," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 34-42.
- Preve, Daniel, 2015.
"Linear programming-based estimators in nonnegative autoregression,"
Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 225-234.
- Daniel Preve, "undated". "Linear programming-based estimators in nonnegative autoregression," GRU Working Paper Series GRU_2016_001, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Lanne, Markku, 2007. "Forecasting realized exchange rate volatility by decomposition," International Journal of Forecasting, Elsevier, vol. 23(2), pages 307-320.
- Giovanni De Luca & Giampiero Gallo, 2010. "A Time-varying Mixing Multiplicative Error Model for Realized Volatility," Econometrics Working Papers Archive wp2010_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Ahoniemi, Katja & Lanne, Markku, 2009.
"Joint modeling of call and put implied volatility,"
International Journal of Forecasting, Elsevier, vol. 25(2), pages 239-258.
- Ahoniemi, Katja & Lanne, Markku, 2007. "Joint Modeling of Call and Put Implied Volatility," MPRA Paper 6318, University Library of Munich, Germany.
- AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016.
"A New Approach to Volatility Modeling : The High-Dimensional Markov Model,"
LIDAM Discussion Papers CORE
2016042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Arnaud Dufays & Maciej Augustyniak & Luc Bauwens, 2016. "A new approach to volatility modeling: the High-Dimensional Markov model," Cahiers de recherche 1609, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Swasti R. Khuntia & Jose L. Rueda & Mart A.M.M. Van der Meijden, 2018. "Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model," Energies, MDPI, vol. 11(12), pages 1-19, November.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014.
"Chasing Volatility. A Persistent Multiplicative Error Model With Jumps,"
"Marco Fanno" Working Papers
0186, Dipartimento di Scienze Economiche "Marco Fanno".
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, Department of Economics and Business Economics, Aarhus University.
- Andrew J. Patton & Kevin Sheppard, 2015. "Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility," The Review of Economics and Statistics, MIT Press, vol. 97(3), pages 683-697, July.
- Christian T. Brownlees & Giampiero M. Gallo, 2010.
"Comparison of Volatility Measures: a Risk Management Perspective,"
Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 29-56, Winter.
- Christian T. Brownlees & Giampiero M. Gallo, 2007. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2007_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
- Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014.
"Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 89-121.
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 89-121, December.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2010/19, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011. "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series 2011/25, Center for Financial Studies (CFS).
- Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
- Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2020. "Periodic autoregressive conditional duration," MPRA Paper 101696, University Library of Munich, Germany, revised 08 Jul 2020.
- Demetrescu, Matei & Golosnoy, Vasyl & Titova, Anna, 2020. "Bias corrections for exponentially transformed forecasts: Are they worth the effort?," International Journal of Forecasting, Elsevier, vol. 36(3), pages 761-780.
- Lanne, Markku & Ahoniemi, Katja, 2008. "Implied Volatility with Time-Varying Regime Probabilities," MPRA Paper 23721, University Library of Munich, Germany.
- Xu, Yongdeng, 2022. "The Exponential HEAVY Model: An Improved Approach to Volatility Modeling and Forecasting," Cardiff Economics Working Papers E2022/5, Cardiff University, Cardiff Business School, Economics Section.
- Gallo, Giampiero M. & Otranto, Edoardo, 2015. "Forecasting realized volatility with changing average levels," International Journal of Forecasting, Elsevier, vol. 31(3), pages 620-634.
- Ke, Rui & Lu, Wanbo & Jia, Jing, 2021. "Evaluating multiplicative error models: A residual-based approach," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
- Markku Lanne, 2006. "Forecasting Realized Volatility by Decomposition," Economics Working Papers ECO2006/20, European University Institute.