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Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
In: NBER Technical Working Papers.
RePEc:nbr:nberte:0331.

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Cited: 23

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Cites: 31

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  1. Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets. (2022). Wu, Jianbin ; Sercu, Piet ; Dhaene, Geert.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:5:p:868-887.

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  2. A Bayesian semiparametric vector Multiplicative Error Model. (2021). Mira, Antonietta ; Peluso, Stefano ; Donelli, Nicola.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000761.

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  3. Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio.
    In: Papers.
    RePEc:arx:papers:2107.05923.

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  4. Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio.
    In: MPRA Paper.
    RePEc:pra:mprapa:93802.

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  5. Forecasting Realized Volatility Using a Nonnegative Semiparametric Model. (2019). Yu, Jun ; Preve, Daniel ; Eriksson, Anders ; JunYu, ; Daniel, .
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:139-:d:262198.

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  6. Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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  7. Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Alavifard, Farzad ; Pourkhanali, Armin.
    In: Energy.
    RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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  8. Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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  9. Long Memory Volatility Models in R: Application to a Regional Blue Chips Index. (2015). Malaj, Visar .
    In: European Journal of Interdisciplinary Studies Articles.
    RePEc:eur:ejisjr:41.

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  10. Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2014_02.

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  11. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:182:y:2014:i:2:p:364-384.

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  12. Spillover Effects in the Volatility of Financial Markets. (2012). Otranto, Edoardo.
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:201217.

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  13. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2011). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201125.

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  14. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2010). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201019.

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  15. Forecasting Realized Volatility Using A Nonnegative Semiparametric Model. (2009). Yu, Jun ; Preve, Daniel ; Eriksson, Anders.
    In: Working Papers.
    RePEc:siu:wpaper:22-2009.

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  16. Semiparametric vector MEM. (2009). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2009_03.

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  17. Joint modeling of call and put implied volatility. (2009). Lanne, Markku ; Ahoniemi, Katja .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:239-258.

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  18. Forecasting Realized Volatility Using A Nonnegative Semiparametric Model. (2009). Yu, Jun ; Preve, Daniel ; Eriksson, Anders ; JunYu, .
    In: Finance Working Papers.
    RePEc:eab:financ:23049.

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  19. A General Framework for Observation Driven Time-Varying Parameter Models. (2008). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; André Lucas, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080108.

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  20. Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models. (2008). Hautsch, Nikolaus ; Jeleskovic, Vahidin.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-047.

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  21. Comparison of Volatility Measures: a Risk Management Perspective. (2008). Gallo, Giampiero ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2008_03.

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  22. Joint Modeling of Call and Put Implied Volatility. (2007). Lanne, Markku ; Ahoniemi, Katja .
    In: MPRA Paper.
    RePEc:pra:mprapa:6318.

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