Pages that link to "Item:Q2654438"
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The following pages link to Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438):
Displayed 10 items.
- Evaluating multiplicative error models: a residual-based approach (Q830601) (← links)
- Diagnostic checking of the vector multiplicative error model (Q1660140) (← links)
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics (Q2322052) (← links)
- A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090) (← links)
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (Q2511805) (← links)
- The impact of transaction duration, volume and direction on price dynamics and volatility (Q3169221) (← links)
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data (Q4555122) (← links)
- Testing weak exogeneity in multiplicative error models (Q4555167) (← links)
- Bootstrap prediction intervals for autoregressive conditional duration models (Q5107501) (← links)
- Adaptive Lasso for vector Multiplicative Error Models (Q5121495) (← links)