Show simple item record

dc.contributor.authorLANNE, Markku
dc.date.accessioned2006-02-21T13:39:30Z
dc.date.available2006-02-21T13:39:30Z
dc.date.issued2006
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/4157
dc.description.abstractA 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 and Yen/Dollar returns and is shown to capture the conditional distribution of these variables better than the com- monly used ARFIMA model. The forecasting performance of the new model is found to be, in general, superior to that of the set of volatil- ity models recently considered by Andersen et al. (2003) for the same data.en
dc.format.extent1847557 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherEuropean University Institute
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2006/3en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectMixture modelen
dc.subjectRealized volatilityen
dc.subjectGamma distributionen
dc.titleA Mixture Multiplicative Error Model for Realized Volatilityen
dc.typeWorking Paperen
dc.neeo.contributorLANNE|Markku|aut|
eui.subscribe.skiptrue


Files associated with this item

Icon

This item appears in the following Collection(s)

Show simple item record