Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
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Cited in
(14)- Diagnostic checking of the vector multiplicative error model
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
- A Markov-switching multifractal inter-trade duration model, with application to US equities
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- scientific article; zbMATH DE number 6390866 (Why is no real title available?)
- The impact of transaction duration, volume and direction on price dynamics and volatility
- High-Frequency Volatility and Liquidity
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
- Testing weak exogeneity in multiplicative error models
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- Dynamic factor models for multivariate count data: an application to stock-market trading activity
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- Evaluating multiplicative error models: a residual-based approach
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