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

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 …

test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based …

test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based …

stock market in China based on high-frequency data. Design/methodology/approach – Using a multiplicative error model …

. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates …