Search Results - subject:"Multiplicative error model"

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - 2013

multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … explicitly into account significantly improves the goodness-of-fit of the multiplicative error model and allows capturing time …

Persistent link: https://www.econbiz.de/10010326710

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - Center for Financial Studies - 2013

Persistent link: https://www.econbiz.de/10010958506

Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis : an MEM approach

Xu, Yongdeng; Taylor, Nicholas; Lu, Wenna - In: International review of financial analysis 56 (2018), pp. 208-220

Persistent link: https://www.econbiz.de/10012006265

Volatility spillovers among the U.S. and Asian stock markets : a comparison between the periods of Asian currency crisis and subprime credit crisis

Lien, Da-hsiang Donald; Lee, Geul; Li, Yang; Zhang, Yuyin - In: The North American journal of economics and finance : a … 46 (2018), pp. 187-201

Persistent link: https://www.econbiz.de/10012036617

Mencía, Javier; Sentana, Enrique - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 599-614

Persistent link: https://www.econbiz.de/10012249217

Diagnostic checking of Markov multiplicative error models

Guo, Bin; Li, Shuo - In: Economics letters 170 (2018), pp. 139-142

Persistent link: https://www.econbiz.de/10012019627

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - 2012

Persistent link: https://www.econbiz.de/10010318750

Modeling time-varying dependencies between positive-valued high-frequency time series

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2012

Multiplicative error models (MEM) became a standard tool for modeling conditional durations of intraday transactions, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so-called vector MEM (VMEM), requires a specification of the...

Persistent link: https://www.econbiz.de/10010318757

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012

We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are …

Persistent link: https://www.econbiz.de/10010330969

Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series

Hautsch, Nikolaus; Schuamburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Persistent link: https://www.econbiz.de/10010587716