Koul, Hira L.; Perera, Indeewara; Silvapulle, Mervyn J. - In: Econometric Theory 28 (2012) 06, pp. 1283-1312
The family of multiplicative error models, introduced by Engle (<xref>2002</xref>, <italic>Journal of Applied Econometrics</italic> 17, 425–446), has attracted considerable attention in recent literature for modeling positive random variables, such as the duration between trades at a stock exchange, volume transactions,...