hhm-prices.txt
Creators:
Wolfgang Karl Härdle
;
Nikolaus Hautsch
;
Andrija Mihoci
From the dataset abstract
We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A...
Source: Local Adaptive Multiplicative Error Models for High-Frequency Forecasts (replication data)
Metadata
| Field | Value |
|---|---|
| Format | text/plain |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/d089a1cd-9b21-43fc-9634-b1402504e5f5/resource/15a21acc-cc99-4749-a2c6-438e2ac80d26/download/hhm-prices.txt |
| Last updated | November 17, 2022 |
| Created | November 17, 2022 |
