Testing weak exogeneity in multiplicative error models

DOI10.1080/14697688.2016.1274045zbMath1402.91957OpenAlexW2594922233MaRDI QIDQ4555167

Yongdeng Xu, Kul B. Luintel

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://orca.cf.ac.uk/98656/1/WeakEXO-Revision-III-final.pdf

zbMATH Keywords

LM testmarket microstructuremultiplicative error modelweak exogeneity

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

• A family of autoregressive conditional duration models
• A multiple indicators model for volatility using intra-daily data
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• A general approach to Lagrange multiplier model diagnostics
• A note on weak exogeneity in VAR cointegrated models
• Modeling the interdependence of volatility and inter-transaction duration processes.
• Stochastic volatility duration models
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
• Exogeneity
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model
• Consequences and Detection of Misspecified Nonlinear Regression Models
• Lagrance-multiplier tersts for weak exogeneity: a synthesis
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
• The Econometrics of Ultra-high-frequency Data
• On the interactions of unit roots and exogeneity
• Maximum Likelihood Estimation of Misspecified Models

This page was built for publication: Testing weak exogeneity in multiplicative error models