Article

Title: Fitting a pth Order Parametric Generalized Linear Autoregressive Multiplicative Error Model

Issue: Volume 81 Series B Part 1 Year 2019
Pages: 103 -- 122
Abstract
This paper is concerned with the problem of fitting a generalized linear model to the conditional mean function of multiplicative error time series models. These models are particularly suited to model nonnegative time series such as the duration between trades at a stock exchange and volume transactions. The proposed test, based on a marked residual empirical process whose marks are suitably defined residuals and which jumps at the estimated indices, is shown to be asymptotically distribution free.
Primary 62M02; Secondary 62M10.
Keywords and phrases: Martingale transform, AR conditional duration models