Chasing volatility. A persistent multiplicative error model with jumps

DOI10.1016/J.JECONOM.2017.01.005MaRDI QIDQ2294516zbMATH OpenOpenAlexFDO

Authors Massimiliano Caporin, Eduardo Rossi, Paolo Santucci de Magistris

Publication date 11 February 2020

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2017.01.005

zbMATH Keywords

volatility jumpsbipower variationmultiplicative error modelvolatility-at-risk

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(7)

• Forecasting realised volatility using ARFIMA and HAR models
• Score-driven models for realized volatility
• Macroeconomic fundamentals, jump dynamics and expected volatility
• Periodic autoregressive conditional duration
• On an independent-switching periodic autoregressive conditional duration
• A slightly depressing jump model: intraday volatility pattern simulation
• Incorporating overnight and intraday returns into multivariate GARCH volatility models

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