Automated variable selection in vector multiplicative error models

被引：10

作者：

Cipollini, Fabrizio ^{[1
]}

Gallo, Giampiero M. ^{[1
]}

机构：

[1] Univ Florence, Dipartimento Stat G Parenti, I-50134 Florence, Italy

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2010年 / 54卷 / 11期

关键词：

VOLATILITY; DURATION;

D O I：

10.1016/j.csda.2009.08.007

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

Multiplicative Error Models (MEM) can be used to trace the dynamics of non-negative valued processes. Interactions between several such processes are accommodated by the vector MEM (vMEM) in the form of parametric (estimated by Maximum Likelihood) or semiparametric specifications (estimated by Generalized Method of Moments). In choosing the relevant variables an automated procedure can be followed where the full specification is successively pruned in a general-to-specific approach. An efficient and fast algorithm is presented and evaluated by means of simulations. The empirical application shows the interdependence across European markets and the relative strength of volatility spillovers. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：2470 / 2486

页数：17

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