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stat.CO2021
A Bayesian Semiparametric Vector Multiplicative Error Model
Nicola Donelli, Stefano Peluso, Antonietta Mira
Interactions among multiple time series of positive random variables are crucial in diverse financial applications, from spillover effects to volatility interdependence. A popular…
stat.CO2019
Conditionally Gaussian Random Sequences for an Integrated Variance Estimator with Correlation between Noise and Returns
Stefano Peluso, Antonietta Mira, Pietro Muliere
Correlation between microstructure noise and latent financial logarithmic returns is an empirically relevant phenomenon with sound theoretical justification. With few notable excep…