Asymptotic properties of multiplicative error models

MaRDI QIDQ5318533zbMATH OpenFDO

Authors Jie Zhou, Sanyang Liu

Publication date 22 July 2009

zbMATH Keywords

martingalespersistence

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• Some statistical properties of the vector multiplicative error model
• scientific article; zbMATH DE number 4159906 (Why is no real title available?)
• M-estimates for the multiplicative error model
• Asymptotic properties of the CARR model

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