Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
