Fitting a two phase threshold multiplicative error model
From MaRDI portal
Publication:515143
DOI10.1016/j.jeconom.2016.12.002zbMath1422.62165OpenAlexW2563707157MaRDI QIDQ515143
Indeewara Perera, Hira L. Koul
Publication date: 10 March 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.12.002
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Functional limit theorems; invariance principles (60F17)
Related Items
Bootstrap specification tests for dynamic conditional distribution models, A class of minimum distance estimators in Markovian multiplicative error models, Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary, Adaptive Lasso for vector Multiplicative Error Models, Bootstrap based probability forecasting in multiplicative error models, A minimum distance lack-of-fit test in a Markovian multiplicative error model
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Martingale Approach in the Theory of Goodness-of-Fit Tests
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- Nonparametric specification tests for conditional duration models
- A family of autoregressive conditional duration models
- A multiple indicators model for volatility using intra-daily data
- Consistent ranking of volatility models
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Probabilistic forecasts of volatility and its risk premia
- Threshold models in time series analysis -- 30 years on
- Volatility forecast comparison using imperfect volatility proxies
- A misspecification test for multiplicative error models of non-negative time series processes
- Threshold models in time series analysis -- some reflections
- Model checks for regression: an innovation process approach
- Nonparametric model checks for time series
- Asymptotics of maximum likelihood estimator in a two-phase linear regression model
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Fitting an error distribution in some heteroscedastic time series models
- Asymptotics of M-estimators in two-phase linear regression models.
- SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS
- BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL
- ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
- On a measure of lack of fit in time series models
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
- Handbook of Volatility Models and Their Applications
- LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
- On conditionally heteroscedastic AR models with thresholds
- Fitting Segmented Curves Whose Join Points Have to be Estimated
- A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Discussion of ``Feature matching in time series modeling by Y. Xia and H. Tong
