Browsing Department of Economics (ECO) by Subject "Gamma distribution"

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Browsing Department of Economics (ECO) by Subject "Gamma distribution"

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    Title: A Mixture Multiplicative Error Model for Realized Volatility  Author(s): LANNE, Markku Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: A multiplicative error model with time-varying parameters and an error term following a mixture of gamma distributions is intro- duced. The model is fitted to the daily realized volatility series of Deutschemark/Dollar ...