Volatility-related Exchange Traded Assets : an Econometric Investigation

@inproceedings{Menca2015VolatilityrelatedET,
  title={Volatility-related Exchange Traded Assets : an Econometric Investigation},
  author={Javier Sentana Menc{\'i}a and Enrique Sentana},
  year={2015}
}
We compare Semi-Nonparametric expansions of the Gamma distribution with alternative Laguerre expansions, showing that they substantially widen the range of feasible moments of positive random variables. Then, we combine those expansions with a component version of the Multiplicative Error Model to capture the mean reversion typical in positive but stationary financial time series. Finally, we carry out an empirical application in which we compare various asset allocation strategies for Exchange… CONTINUE READING

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