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
Englisch

Erschienen in
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-19 ; Basel: MDPI

Klassifikation
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
conditional variance dynamics
multiplicative error model
non-negative valued time series
zero-inflated mixture distribution

Ereignis
Geistige Schöpfung
(wer)
Kawakatsu, Hiroyuki
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2019

DOI
doi:10.3390/econometrics7040048
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Kawakatsu, Hiroyuki
  • MDPI

Entstanden

  • 2019

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