Dynamic conditional correlation multiplicative error processes

  title={Dynamic conditional correlation multiplicative error processes},
  author={Taras Bodnar and Nikolaus Hautsch},
  • Taras Bodnar, Nikolaus Hautsch
  • Published 2016
  • Economics
  • We introduce a dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model, we map the resulting residuals into a Gaussian domain using a copula-type transformation. Based on high-frequency volatility, cumulative trading volumes, trade counts and market depth of various stocks traded at the NYSE, we show that the… CONTINUE READING

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