.png){kind=icon}
返回
Fitting a two phase threshold multiplicative error model
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jeconom.2016.12.002.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
The recent literature on financial time series analysis has devoted considerable attention to nonnegative time series, such as financial durations, realized volatility, and squared returns. The class of models, referred to as the multiplicative error models [MEM], is particularly suited to model such nonnegative time series. We develop a lack-of-fit test for fitting a two-phase threshold model for the conditional mean function in an MEM. The proposed testing procedure can also be applied to a class of autoregressive conditional heteroscedastic threshold models. We evaluate the test in a simulation study. The testing procedure is illustrated by using two data examples. (C) 2016 Elsevier B.V. All rights reserved.
Keyword:
Lack-of-fit test
Martingale transform
Kolmogorov-Smirnov
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4
论文数:
5.2K
被引数:
3.0W
机构
引用论文
Discussion of Feature Matching in Time Series Modeling by Y. Xia and H. Tong.png)
STATISTICAL SCIENCE
OAAI
STATISTICAL SCIENCEIF3.4
OAAI分享收藏分享收藏Epitope Mapping of a Monoclonal Antibody Directed against Neisserial Heparin Binding Antigen Using Next Generation Sequencing of Antigen-Specific LibrariesPLOS ONEOAAI
PLOS ONEIF0
OAAI分享收藏
查看更多内容