Meitz, Mika; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2004
nonlinearity and parameter nonconstancy.
2.2 General theory
Let ti be the time at which the ith event (trade, quote, price change … parameters are identified only under the alternative is discussed for example
in Hansen (1996). He studies the (non … are for convenience and numerical stability standardized to
obtain values between 0 and 1. As each financial event …