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