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Title:Realized Beta GARCH: A Multivariate GARCH model with realized measures of volatility and covolatility Author(s):HANSEN, Peter Reinhard; LUNDE, Asger; VOEV, ValeriDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/28Abstract:We introduce a multivariate GARCH model that incorporates realized measures of volatility and covolatility. The realized measures extract information about the current level of volatility and covolatility from high-frequency ...

Title:Exponential GARCH Modeling with Realized Measures of Volatility Author(s):HANSEN, Peter Reinhard; HUANG, ZhuoDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/26Abstract:We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, ...

Title:Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? Author(s):PROIETTI, Tommaso; LUETKEPOHL, Helmut EUI affiliated

Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/29Abstract:The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured ...

Title:Are Small Countries Able to set their Own Interest Rates? Assessing the implications of the macroeconomic trilemma Author(s):HERWARTZ, Helmut; ROESTEL, JanDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/09Abstract:According to the ’macroeconomic trilemma’ the ability of small economies to pursue an independent monetary policy is jointly determined by country specific foreign exchange (FX) rate flexibility and capital mobility. In ...

Title:Forecasting Realized Volatility by Decomposition Author(s):LANNE, MarkkuDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/20

Title:A Mixture Multiplicative Error Model for Realized Volatility Author(s):LANNE, MarkkuDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/3Abstract: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 ...

Title:Three essays on the econometric analysis of high frequency financial data Author(s):OOMEN, Roel C. A.Date:2003Citation: Florence, European University Institute, 2003 Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis is motivated by the observation that the time series properties of financial security prices can vary fundamentally with their sampling frequency. Econometric models developed for low frequency data may thus ...