Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247548 
Year of Publication: 
2019
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 7 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
This paper considers observation driven models with conditional mean and variance dynamics for non-negative valued time series. The motivation is to relax the restriction imposed on the higher order moment dynamics in standard multiplicative error models driven only by the conditional mean dynamics. The empirical fit of a zero inflated mixture distribution is assessed with trade duration data with a large fraction of zero observations. All authors have read and agreed to the published version of the manuscript.
Subjects: 
conditional variance dynamics
multiplicative error model
non-negative valued time series
zero-inflated mixture distribution
JEL: 
C22
C58
C51
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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