Diagnostic checking of the vector multiplicative error model
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Recommendations
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
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Cites work
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 3797061 (Why is no real title available?)
- scientific article; zbMATH DE number 2188315 (Why is no real title available?)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- A multiple indicators model for volatility using intra-daily data
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Evaluating financial time series models for irregularly spaced data: a spectral density approach
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- On a measure of lack of fit in time series models
- On the residual autocorrelation of the autoregressive conditional duration model
- Testing model adequacy for some Markov regression models for time series
- The Multivariate Portmanteau Statistic
Cited in
(8)- Evaluating multiplicative error models: a residual-based approach
- Diagnostic checking of Markov multiplicative error models
- On an independent-switching periodic autoregressive conditional duration
- Omnibus diagnostic procedures for vector multiplicative errors models
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
- Modeling time-varying dependencies between positive-valued high-frequency time series
- Estimating vector multiplicative error model using the closed-formed moment method
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
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