A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility

To forecast realized volatility, this paper introduces a multiplicative error model that incorporates heterogeneous components: weekly and monthly realized volatility measures. While the model captures the long‐memory property, estimation simply proceeds using quasi‐maximum likelihood estimation. Th...

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Veröffentlicht in:	Journal of forecasting 2015-04, Vol.34 (3), p.209-219
Hauptverfasser:	Han, Heejoon, Park, Myung D., Zhang, Shen
Format:	Artikel
Sprache:	eng
Schlagworte:	Benchmarking Comparative analysis Econometrics Economic models Estimation forecasting Forecasting techniques long-memory property Maximum likelihood method multiplicative error model realized volatility Studies Volatility
Online-Zugang:	Volltext
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