Volatility comovement: a multifrequency approach

DOI10.1016/J.JECONOM.2005.01.008MaRDI QIDQ292013zbMATH OpenOpenAlexWikidataFDO

Authors Samuel B. Thompson, Laurent E. Calvet, Adlai J. Fisher

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

zbMATH Keywords

maximum likelihoodparticle filterstochastic volatilityvalue-at-riskMarkov-switchingmultifrequency volatility decompositionmultivariate MSMquantile forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Dynamic linear models with Markov-switching
• Filtering via Simulation: Auxiliary Particle Filters
• Forecasting multifractal volatility
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Markov chain Monte Carlo methods for stochastic volatility models.
• Multivariate Stochastic Variance Models
• Testing for structural change in a long-memory environment
• What is an oil shock?

Cited in

(13)

• Multifrequency jump-diffusions: An equilibrium approach
• Log-normal continuous cascade model of asset returns: aggregation properties and estimation
• On the regularities of mass random phenomena
• Multifractal value at risk model
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
• What is beneath the surface? Option pricing with multifrequency latent states
• Statistical tests of distributional scaling properties for financial return series
• MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
• A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
• A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
• Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
• DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
• Testing for volatility co-movement in bivariate stochastic volatility models

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