Volatility comovement: a multifrequency approach
From MaRDI portal
Publication:292013
DOI10.1016/j.jeconom.2005.01.008zbMath1337.62350OpenAlexW3122593262WikidataQ56767481 ScholiaQ56767481MaRDI QIDQ292013
Samuel B. Thompson, Adlai J. Fisher, Laurent E. Calvet
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/t0300.pdf
stochastic volatilitymaximum likelihoodvalue-at-riskparticle filterMarkov-switchingmultifrequency volatility decompositionmultivariate MSMquantile forecasts
Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Stochastic models in economics (91B70)
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