Diagnostic checking of Markov multiplicative error models
type: Item
instance of: scholarly article
title: Diagnostic checking of Markov multiplicative error models
zbMATH Open document ID: 1401.62154
author: Bin Guo
author: Shuo Li
published in: Economics Letters
publication date: 2018-10-05T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6947854
zbMATH Keywords: multiplicative error model
zbMATH Keywords: specification test
zbMATH Keywords: time series
MaRDI profile type: Publication
full work available at URL: j.econlet.2018.06.010
OpenAlex ID: W2809010440
cites work: Q4322338
cites work: Q4137964
cites work: Handbook of Volatility Models and Their Applications
cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
cites work: Nonparametric specification tests for conditional duration models
cites work: A misspecification test for multiplicative error models of non-negative time series processes
cites work: LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
cites work: A nonlinear autoregressive conditional duration model with applications to financial transaction data
Wikidata QID: Q129626185
DOI: 10.1016/J.ECONLET.2018.06.010
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description: scientific article; zbMATH DE number 6947854