Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series
نویسندگان
چکیده
منابع مشابه
Modeling Time-Varying Dependencies between Positive-Valued High- Frequency Time Series
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 joint error term distribution, which is due to the lack of multivariate distribution functions on R+ def...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2315828