Evaluating multiplicative error models: a residual-based approach
type: Item
instance of: scholarly article
title: Evaluating multiplicative error models: a residual-based approach
author: Rui Ke
author: Wanbo Lu
author: Jing Jia
published in: Computational Statistics and Data Analysis
publication date: 2021-05-07T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7345919
zbMATH Keywords: multiplicative error model
zbMATH Keywords: diagnostic checking
zbMATH Keywords: portmanteau test
zbMATH Keywords: residual-based test
MaRDI profile type: Publication
full work available at URL: j.csda.2020.107086
OpenAlex ID: W3083518651
cites work: Evaluating financial time series models for irregularly spaced data: a spectral density approach
cites work: A multiple indicators model for volatility using intra-daily data
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: Diagnostic checking of Markov multiplicative error models
cites work: Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
cites work: DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
cites work: Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
cites work: The Multivariate Portmanteau Statistic
cites work: A novel partial-linear single-index model for time series data
cites work: Estimation of semivarying coefficient time series models with ARMA errors
cites work: LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
cites work: Testing conditional asymmetry: a residual-based approach
cites work: Q4742198
cites work: On the residual autocorrelation of the autoregressive conditional duration model
cites work: Goodness-of-fit tests in conditional duration models
cites work: Diagnostic checking of the vector multiplicative error model
cites work: A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models
cites work: SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS
cites work: The asymptotic effect of substituting estimators for parameters in certain types of statistics
cites work: Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
cites work: Residual‐based diagnostics for conditional heteroscedasticity models
cites work: Residual-based test for fractional cointegration
DOI: 10.1016/J.CSDA.2020.107086
description: scientific article; zbMATH DE number 7345919