G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/t0300
来源IDTechnical Working Paper 0300
Volatility Comovement: A Multifrequency Approach
Laurent E. Calvet; Adlai J. Fisher; Samuel B. Thompson
发表日期2004-08-30
出版年2004
语种英语
摘要We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood. Estimation can proceed by ML for state spaces of moderate size, and by simulated likelihood via a particle filter in high-dimensional cases. We estimate the model and confirm its main assumptions in likelihood ratio tests. Bivariate MSM compares favorably to a standard multivariate GARCH both in- and out-of-sample. We extend the model to multivariate settings with a potentially large number of assets by proposing a parsimonious multifrequency factor structure.
主题Econometrics ; Estimation Methods
URLhttps://www.nber.org/papers/t0300
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/568329
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GB/T 7714
Laurent E. Calvet,Adlai J. Fisher,Samuel B. Thompson. Volatility Comovement: A Multifrequency Approach. 2004.
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