Volatility comovement: a multifrequency approach
DOI10.1016/J.JECONOM.2005.01.008zbMATH Open1337.62350OpenAlexW3122593262WikidataQ56767481 ScholiaQ56767481MaRDI QIDQ292013FDOQ292013
Adlai J. Fisher, Laurent E. Calvet, Samuel B. Thompson
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
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maximum likelihoodparticle filterstochastic volatilityvalue-at-riskMarkov-switchingmultifrequency volatility decompositionmultivariate MSMquantile forecasts
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)
Cites Work
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- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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- Filtering via Simulation: Auxiliary Particle Filters
- Multivariate Stochastic Variance Models
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- Likelihood Inference for Discretely Observed Nonlinear Diffusions
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- Forecasting multifractal volatility
Cited In (12)
- Multifrequency jump-diffusions: An equilibrium approach
- Log-normal continuous cascade model of asset returns: aggregation properties and estimation
- 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
- On the Regularities of Mass Random Phenomena
- A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
- MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
- 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
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