Multiplicative Error Models: 20 years on-Reference-Cited by-同舟云学术

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Multiplicative Error Models: 20 years on

Published:2022-05 Issue: Volume: Page:
ISSN:2452-3062
Container-title:Econometrics and Statistics
language:en
Short-container-title:Econometrics and Statistics

Author:

Cipollini Fabrizio,Gallo Giampiero M.^ORCID

Funder

Conseil Français de l'Énergie

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference65 articles.

1. Specification and testing of multiplicative time-varying GARCH models with applications;Amado;Econometric Reviews,2017

2. Doubly Multiplicative Error Models with Long- and Short-run Components;Amendola,2020

3. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998

4. Volatility and correlation forecasting;Andersen,2006

5. Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility;Andersen;Review of Economics and Statistics,2007

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS*;Oxford Bulletin of Economics and Statistics;2023-10-05

2. Dynamic Autoregressive Liquidity (DArLiQ);Journal of Business & Economic Statistics;2023-07-24

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