| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0300 |
| 来源ID | Technical 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 |
| URL | https://www.nber.org/papers/t0300 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568329 |
| 推荐引用方式 GB/T 7714 | Laurent E. Calvet,Adlai J. Fisher,Samuel B. Thompson. Volatility Comovement: A Multifrequency Approach. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0300.pdf（875KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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