Artikel
Jointly modeling autoregressive conditional mean and variance of non-negative valued time series
This paper considers observation driven models with conditional mean and variance dynamics for non-negative valued time series. The motivation is to relax the restriction imposed on the higher order moment dynamics in standard multiplicative error models driven only by the conditional mean dynamics. The empirical fit of a zero inflated mixture distribution is assessed with trade duration data with a large fraction of zero observations. All authors have read and agreed to the published version of the manuscript.
- Sprache
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Englisch
- Erschienen in
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-19 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Financial Econometrics
Model Construction and Estimation
- Thema
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conditional variance dynamics
multiplicative error model
non-negative valued time series
zero-inflated mixture distribution
- Ereignis
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Geistige Schöpfung
- (wer)
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Kawakatsu, Hiroyuki
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2019
- DOI
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doi:10.3390/econometrics7040048
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Kawakatsu, Hiroyuki
- MDPI
Entstanden
- 2019