A misspecification test for multiplicative error models of non-negative time series processes
非负时间序列乘法误差模型的设定错误检验
In recent years, analysis of financial time series focuses largely on data related to market trading activity. Apart from modeling of the conditional variance of returns within the generalized autoregressive conditional heteroskedasticity (GARCH) family of models, presently attention is also devoted to that of other market variables, for instance volumes, number of trades or financial durations. To this end, a large group of researchers focus their studies on a class of…