Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity
Fabrizio Cipollini (),
Robert Engle and
Giampiero Gallo ()
Additional contact information
Fabrizio Cipollini: Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”, Università di Firenze, 50134 Firenze, Italy
Econometrics, 2017, vol. 5, issue 2, 1-24
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.
Keywords: GARCH; MEM; realized volatility; trading volume; trading activity; trades; copula; volatility forecasting (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Working Paper: Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642
Access Statistics for this article
Econometrics is currently edited by Prof. Dr. Kerry Patterson
More articles in Econometrics from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().