Chasing volatility. A persistent multiplicative error model with jumps

DOI10.1016/J.JECONOM.2017.01.005zbMATH Open1456.62243OpenAlexW3123985281MaRDI QIDQ2294516FDOQ2294516

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

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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 (6)

• Forecasting realised volatility using ARFIMA and HAR models
• Score-driven models for realized 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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