Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model

DOI10.1007/s13571-019-00195-wzbMath1437.62290OpenAlexW2921751356MaRDI QIDQ2297945

Yanyan Li

Publication date: 20 February 2020

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-019-00195-w

zbMATH Keywords

time seriesgeneralized linear modelmartingale transformAR conditional duration models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)

Related Items (4)

Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary ⋮ Lack-of-fit of a parametric measurement error AR(1) model ⋮ A minimum distance lack-of-fit test in a Markovian multiplicative error model ⋮ P. C. Mahalanobis in the context of current econometrics research

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