The Multiplicative Error Model introduced by Engle (2002) for non-negative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multivariate extension of such a model, by taking...

Fat tails of q-Gaussian distributions of daily log-leverage-returns of 520 North American industrial firms reported by Katz and Tian (2013) imply a significantly higher credit risk at short time-horizons and/or large initial distances to the default barrier than forecasted by traditional...

Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...

This study estimated Asymmetric generalized autoregressive conditional heteroscadasticity models with endogenous break dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and China spanning from February 14, 2000 to February 14,...

General-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of multi-path GETS specification search. However, several scholars have argued that the estimation complexity associated with financial models constitutes an obstacle to multi-path...

Multiplicative Error Models (MEM) can be used to trace the dynamics of non–negative valued processes. Interactions between several such processes are accommodated by the vector MEM and estimated by maximum likelihood (Gamma marginals with copula functions) or by Generalized Method of Moments....

In financial time series analysis we encounter several instances of non–negative valued processes (volumes, trades, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector of conditionally autoregressive scale factors and a...