Non-homogeneous volatility correlations in the bivariate multifractal model
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http://dx.doi.org/10.1080/1351847X.2014.897960 |
Metadatos
Título
Non-homogeneous volatility correlations in the bivariate multifractal modelFecha de publicación
2015Editor
Taylor & FrancisISSN
1351-847X; 1466-4364Cita bibliográfica
LIU, Ruipeng; LUX, Thomas. Non-homogeneous volatility correlations in the bivariate multifractal model. The European Journal of Finance, 2015, vol. 21, no 12, p. 971-991.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.tandfonline.com/doi/full/10.1080/1351847X.2014.897960Palabras clave / Materias
Resumen
In this paper, we consider an extension of the recently proposed bivariate Markov-switching multifractal model of Calvet, Fisher, and Thompson [2006. “Volatility Comovement: A Multifrequency Approach.” Journal of ... [+]
In this paper, we consider an extension of the recently proposed bivariate Markov-switching multifractal model of Calvet, Fisher, and Thompson [2006. “Volatility Comovement: A Multifrequency Approach.” Journal of Econometrics 131: 179–215]. In particular, we allow correlations between volatility components to be non-homogeneous with two different parameters governing the volatility correlations at high and low frequencies. Specification tests confirm the added explanatory value of this specification. In order to explore its practical performance, we apply the model for computing value-at-risk statistics for different classes of financial assets and compare the results with the baseline, homogeneous bivariate multifractal model and the bivariate DCC-GARCH of Engle [2002. “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.” Journal of Business & Economic Statistics 20 (3): 339–350]. As it turns out, the multifractal model with heterogeneous volatility correlations provides more reliable results than both the homogeneous benchmark and the DCC-GARCH model. [-]
Publicado en
The European Journal of Finance Volume 21, Issue 12, 2015Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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