Hautsch, Nikolaus; Schuamburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Multiplicative error models (MEM) became a standard tool for modeling conditional durations of intraday transactions, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so-called vector MEM (VMEM), requires a specification of the...