Autore
LANNE, MarkkuTitolo
A Mixture Multiplicative Error Model for Realized VolatilityPeriodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papersAnno:
2006 - Fascicolo:
3 - Pagina iniziale:
1 - Pagina finale:
32A multiplicative error model with time-varying parameters and an error term following a mixture of gamma distributions is intro- duced. The model is fitted to the daily realized volatility series of Deutschemark/Dollar and Yen/Dollar returns and is shown to capture the conditional distribution of these variables better than the com- monly used ARFIMA model. The forecasting performance of the new model is found to be, in general, superior to that of the set of volatil- ity models recently considered by Andersen et al. (2003) for the same data.
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