Disentangling systematic and idiosyncratic dynamics in panels of volatility measures

DOI10.1016/j.jeconom.2014.05.017zbMath1311.62173MaRDI QIDQ2511805

Matteo Barigozzi, David Veredas, Christian Brownlees, Giampiero M. Gallo

Publication date: 6 August 2014

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

Full work available at URL: http://local.disia.unifi.it/wp_disia/2014/wp_disia_2014_02.pdf

zbMATH Keywords

volatility; seminonparametric estimation; vector multiplicative error model

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

91B82: Statistical methods; economic indices and measures

Related Items

Adaptive Lasso for vector Multiplicative Error Models, An integrated heteroscedastic autoregressive model for forecasting realized volatilities, Generalized dynamic factor models and volatilities: estimation and forecasting

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