Capturing the Spillover Effect With Multiplicative Error Models

DOI10.1080/03610926.2013.819919zbMath1332.62335OpenAlexW1547990223MaRDI QIDQ2794787

Edoardo Otranto

Publication date: 11 March 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.819919

zbMATH Keywords

asymmetric effectinertial componentproper volatilitytransmitted volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (1)

On classifying the effects of policy announcements on volatility

Cites Work

• A multiple indicators model for volatility using intra-daily data
• Analysis of time series subject to changes in regime
• Volatility spillovers, interdependence and comovements: a Markov switching approach
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Practical Issues in the Analysis of Univariate GARCH Models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Forecasting Using Principal Components From a Large Number of Predictors
• Modeling and Forecasting Realized Volatility
• The Generalized Dynamic Factor Model

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