英文标题：
《Copula--based Specification of vector MEMs》
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作者：
Fabrizio Cipollini and Robert F. Engle and Giampiero M. Gallo
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最新提交年份：
2016
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英文摘要：
The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with nonnegative support. A multivariate extension allows for the innovations to be contemporaneously correlated. We overcome the lack of sufficiently flexible probability density functions for such processes by suggesting a copula function approach to estimate the parameters of the scale factors and of the correlations of the innovation processes. We illustrate this vector MEM with an application to the interactions between realized volatility, volume and the number of trades. We show that significantly superior realized volatility forecasts are delivered in the presence of other trading activity indicators and contemporaneous correlations.
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中文摘要：
非负值过程的乘法误差模型（Engle（2002））被指定为（条件自回归）标度因子和具有非负支持的创新过程的乘积。多元扩展允许创新同时相关。我们通过提出一种copula函数方法来估计规模因子的参数和创新过程的相关性，克服了这类过程缺乏足够灵活的概率密度函数的缺点。我们用已实现的波动率、交易量和交易数量之间的相互作用来说明这个向量MEM。我们表明，在存在其他交易活动指标和同期相关性的情况下，显著优于已实现波动率预测。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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