A Time-varying Mixing Multiplicative Error Model for Realized Volatility
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References listed on IDEAS
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- 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.
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More about this item
Keywords
Multiplicative Error Models; Realized Volatility; Mixture Distributions;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-05-08 (Econometrics)
- NEP-ETS-2010-05-08 (Econometric Time Series)
- NEP-FOR-2010-05-08 (Forecasting)
- NEP-ORE-2010-05-08 (Operations Research)
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