Bootstrap based probability forecasting in multiplicative error models
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DOI: 10.1016/j.jeconom.2020.01.022
Abstract: Abstract As evidenced by an extensive empirical literature, multiplicative error models (MEM) show good performance in capturing the stylized facts of nonnegative time series; examples include, trading volume, financial durations, and volatility. This paper develops… read more here.
Keywords: multiplicative error; bootstrap based; error models; probability ... See more keywords
M-estimates for the multiplicative error model
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DOI: 10.1080/00949655.2019.1671387
Abstract: ABSTRACT In this paper, we propose two types of robust estimates for the multiplicative error model, M-estimates and BM-estimates, and analyse their estimation effects for different loss functions. According to the Monte Carlo simulation, we… read more here.
Keywords: multiplicative error; estimates multiplicative; error model; loss ... See more keywords
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
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DOI: 10.1080/14697688.2016.1260756
Abstract: Abstract We develop a general form logarithmic vector multiplicative error model (log-vMEM). The log-vMEM improves on existing models in two ways. First, it is a more general form model as it allows the error terms… read more here.
Keywords: error; error model; model; logarithmic vector ... See more keywords