sorry,
I have to estimate the model parameters.
Thanks in advance.
Search found 2 matches
- Fri May 27, 2011 6:16 am
- Forum: Econometric Discussions
- Topic: Multiplicative Error Model
- Replies: 1
- Views: 2274
- Thu May 26, 2011 11:44 am
- Forum: Econometric Discussions
- Topic: Multiplicative Error Model
- Replies: 1
- Views: 2274
Multiplicative Error Model
Hello everyone, I have this model: ] Immagine.jpg with: rt=returns ht=conditional variance R=intraday range (high minus low, high frequency data variable) RV=realized variance zt~nid(0,1) There is someone who has developed a code for this model ??? Any suggestions and comments would be much apprecia...