Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/79591 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2012-054
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
Multiplicative error models (MEM) became a standard tool for modeling conditional durations of intraday transactions, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so-called vector MEM (VMEM), requires a specification of the joint error term distribution, which is due to the lack of multivariate distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula parameters and therefore, leads to invalid inference, if the dependence exhibits time variations or structural breaks. Hence, we suggest to test for time-varying dependence by calibrating a time-varying copula model and to reestimate the VMEM based on identified intervals of homogenous dependence. This paper summarizes the important aspects of (V)MEM, its estimation and a sequential test for changes in the dependence structure. The techniques are applied in an empirical example.
Schlagwörter: 
vector multiplicative error model
copula
time-varying copula
highfrequency data
JEL: 
C32
C51
Dokumentart: 
Working Paper

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