Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171918
Authors: 
Cipollini, Fabrizio
Engle, Robert F.
Gallo, Giampiero M.
Year of Publication: 
2017
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 5 [Year:] 2017 [Issue:] 2 [Pages:] 1-24
Abstract: 
We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past values and conditional expectations of the variables can be simultaneously estimated. Results with realized volatility, volumes and number of trades of the JNJ stock show that significantly superior realized volatility forecasts are delivered with a fully interdependent vMEM relative to a single equation. Alternatives involving log-Normal or semiparametric formulations produce substantially equivalent results.
Subjects: 
GARCH
MEM
realized volatility
trading volume
trading activity
trades
copula
volatility forecasting
JEL: 
C32
C53
C58
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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