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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Multiplicative error models and their estimation
 Kusenda, Ondrej ; Hudecová, Šárka (advisor) ; Hendrych, Radek (referee)
The master thesis deals with high-frequency time series that have only positive values. These time series are modeled with Multiplicative error models (MEMs). The basic MEM models include the ACD model and LACD model. In this thesis, these models are defined and their basic properties are described. The maximum likelihood estimation method and quasi-maximum likelihood estimation method are described in the thesis. In the simulation study, the estimation methods and the impact of model misspecification and model order are compared with respect to the quality of one-step prediction. The practical part includes an application to real data from the financial sector, where absolute logarithmic stock returns are modelled. 1
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