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://jda-test.zbw.eu/dataset/af10d463-4a0e-4495-94db-9d3dc9e3f85a/resource/9bf8b03d-16a7-4fed-8a77-aa31dbc8babe/download/hhm-prices.txt |
| Last updated | November 8, 2022 |
| Created | November 8, 2022 |
