Testing weak exogeneity in multiplicative error models (Q4555167): Difference between revisions

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+Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
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+Lagrance-multiplier tersts for weak exogeneity: a synthesis
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+A note on weak exogeneity in VAR cointegrated models
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+A general approach to Lagrange multiplier model diagnostics
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Exogeneity
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+A family of autoregressive conditional duration models
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+Stochastic volatility duration models
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+Modeling the interdependence of volatility and inter-transaction duration processes.
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+Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
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+On the interactions of unit roots and exogeneity
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+Testing for volatility interactions in the Constant Conditional Correlation GARCH model
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+The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
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+Consequences and Detection of Misspecified Nonlinear Regression Models
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+Maximum Likelihood Estimation of Misspecified Models
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