LAUSR

About LAUSR
Donate
Contact Us

Follow us:

You are not signed in:

Sign Up!


   Articles with "multiplicative error" as a keyword



Bootstrap based probability forecasting in multiplicative error models

Sign Up to like & get
recommendations! Published in 2021 at "Journal of Econometrics"

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

Sign Up to like & get
recommendations! Published in 2019 at "Journal of Statistical Computation and Simulation"

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
Photo from wikipedia

The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data

Sign Up to like & get
recommendations! Published in 2017 at "Quantitative Finance"

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

Dung beetle optimizer for mixed additive and multiplicative error model with inequality constraints

Sign Up to like & get
recommendations! Published in 2025 at "Physica Scripta"

DOI: 10.1088/1402-4896/adff3b

Abstract: Establishing constraint relationships for parameters based on prior information is beneficial for improving the accuracy of geodetic measurements. However, there is limited research on constraint relationships in the form of inequalities for mixed additive and… read more here.

Keywords: additive multiplicative; dung beetle; mixed additive; error model ... See more keywords

The impact of WTI futures on Shanghai crude futures: identifying spillover effects on crude oil prices using the multiplicative error model

Sign Up to like & get
recommendations! Published in 2025 at "Journal of Economic Studies"

DOI: 10.1108/jes-02-2025-0132

Abstract: This study quantifies volatility spillovers between WTI and INE, assessing their time-varying nature and INE’s sensitivity to external shocks. It evaluates INE’s integration with global markets and its role as a regional benchmark, offering insights… read more here.

Keywords: multiplicative error; crude oil; error model;