A Multiple Indicators Model for Volatility Using Intra-Daily Data

By Robert F. Engle, Giampiero M. Gallo. 2003

569 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c433e9d2d7e279a34146ac849c4f242c3ae68c68

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Citations in the corpus

New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017, methodology): “Examples of such models in the univariate case are the multiplicative error model (MEM) (Engle and Gallo 2006), the HEAVY (high-frequency-based volatility) model (Shephard and Sheppard 2010), and the Realized GARCH model (Hansen, Huang, and Shek 2012).”
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (2016, unknown): “The ACM model for the gamma distribution with k = 1/βt corresponds to the multiplicative error model of Engle and Gallo (2006).”
A General Framework for Observation Driven Time-Varying Parameter Models (2008, unknown): “The GAS(1,1) model in this case is ft = ω + A0/2 (yt − ft−1) +B1ft−1, (8) which is equivalent to the multiplicative error model (MEM) proposed by Engle (2002b) and extended in Engle and Gallo (2006).”
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012, unknown): “The range, i.e. the diﬀerence between the highest and the lowest price within a day, has also been found to be signiﬁcant by many authors, see e.g. Brandt and Jones (2006) and Engle and Gallo (2006).”
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2013, methodology): “(12) This specification is equivalent to the multiplicative error model (MEM) proposed by Engle (2002b) and extended in Engle and Gallo (2006).”
Option Valuation with Observable Volatility and Jump Dynamics (2015, unknown): “We can write the one-period risk-neutral conditional MGF as Qt;t+1 E Q t [exp (uRt+1 + v ht+1)] (19)”
Vector Multiplicative Error Models: Representation and Inference (2006, methodology): “Let us start by recalling the main features of the univariate Multiplicative Error Model (MEM) introduced by Engle (2002) and extended by Engle and Gallo (2006).”
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY (2012, methodology): “A complete framework that jointly specifies models for returns and realized measures of volatility was first proposed by Engle and Gallo (2006), who refer to their model as the Multiplicative Error Model (MEM).”
Measuring Downside Risk - Realised Semivariance (2008, background): “Engle and Gallo (2006) prefers a different route, which is to add lagged realised quantities as variance regressors in Engle (2002) and Bollerslev (1986) GARCH type models of daily returns — the reason for their preference is that it is aimed at a key quantity, a predictive model of future returns,…”
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011, unknown): “One useful way of thinking about the forecasting problem is to fita GARCH type problem with lagged realised quantities as explanatory variables, e.g. Engle & Gallo (2006).”