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Multivariate high-frequency-based volatility (HEAVY) models (replication data)
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from... -
On the forecasting accuracy of multivariate GARCH models (replication data)
This paper addresses the question of the selection of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models in terms of variance matrix forecasting... -
Realized GARCH: a joint model for returns and realized measures of volatility...
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the... -
Risk aversion, intertemporal substitution, and the term structure of interest...
We build and estimate an equilibrium model of the term structure of interest rates based on a recursive utility specification. We contrast it with an arbitrage-free model, where... -
A comprehensive look at financial volatility prediction by economic variables...
We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is... -
Testing distributional assumptions: A GMM aproach (replication data)
We consider testing distributional assumptions by using moment conditions. A general class of moment conditions satisfied under the null hypothesis is derived and connected to...
