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.
Automated Variable Selection in Vector Multiplicative Error Models / F. Cipollini; G. M. Gallo. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - ELETTRONICO. - 54:(2010), pp. 2470-2486. [10.1016/j.csda.2009.08.007 doi: 10.1016/j.csda.2009.08.007]
Automated Variable Selection in Vector Multiplicative Error Models
CIPOLLINI, FABRIZIO;GALLO, GIAMPIERO MARIA
2010
Abstract
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.File | Dimensione | Formato | |
---|---|---|---|
COMSTA4458.pdf
Accesso chiuso
Tipologia:
Versione finale referata (Postprint, Accepted manuscript)
Licenza:
Tutti i diritti riservati
Dimensione
556.76 kB
Formato
Adobe PDF
|
556.76 kB | Adobe PDF | Richiedi una copia |
I documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.