Evaluating multiplicative error models: a residual-based approach
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Publication:830601
DOI10.1016/J.CSDA.2020.107086OpenAlexW3083518651MaRDI QIDQ830601FDOQ830601
Authors: Rui Ke, Wanbo Lu, Jing Jia 
Publication date: 7 May 2021
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2020.107086
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Cites Work
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- The Multivariate Portmanteau Statistic
- Title not available (Why is that?)
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- Diagnostic checking of the vector multiplicative error model
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- On the residual autocorrelation of the autoregressive conditional duration model
- Goodness-of-fit tests in conditional duration models
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
- Evaluating financial time series models for irregularly spaced data: a spectral density approach
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Cited In (4)
- Weighted empirical likelihood estimator for vector multiplicative error model
- Diagnostic checking of the vector multiplicative error model
- Bootstrap based probability forecasting in multiplicative error models
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
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