Doubly Multiplicative Error Models with Long– and Short–run Components

  title={Doubly Multiplicative Error Models with Long– and Short–run Components},
  author={Alessandra Amendola and Vincenzo Candila and Fabrizio Cipollini and Giampiero M. Gallo},
  journal={arXiv: Statistical Finance},
We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low-, respectively, high-frequency features in the data. We derive the theoretical properties of the Maximum Likelihood and Generalized Method of Moments estimators. Two such models are then proposed, the Component-MEM, which uses daily data for both components, and the MEM-MIDAS, which exploits the logic of MIxed-DAta Sampling (MIDAS… 

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