Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Year of publication: |
2010
|
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Authors: | Hautsch, Nikolaus ; Malec, Peter ; Schienle, Melanie |
Institutions: | Center for Financial Studies |
Subject: | High-frequency Data | Point-mass Mixture | Multiplicative Error Model | Excess Zeros | Semiparametric Specification Test | Market Microstructure |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2010/19 |
Classification: | C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models ; C14 - Semiparametric and Nonparametric Methods ; C51 - Model Construction and Estimation |
Source: |
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
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