We embed a MIDAS (MI(xed)–DA(ta) Sampling) component in a multiplicative error model (MEM) context (MEM–MIDAS). The proposed specification considers a low frequency component, say monthly, in the conditional expectation of a daily non-negative process. The empirical application illustrates the...
MEM-3220 品牌名称Midas Displays 商品型号MEM-3220 商品编号C17581226 包装方式 袋装 商品毛重 1克(g)商品参数 资料纠错查看类似商品 属性参数值 商品目录 音视频模块 传感器模块类型 CMOS 属性参数值 接口类型 USB2.0梯度价格 梯度 售价 折合1袋 1+￥873.29￥873.29 200+￥348.45￥348.45 500+￥336.81￥336.81...
We embed a MIDAS (MI(xed)–DA(ta) Sampling) component in a multiplicative error model (MEM) context (MEM–MIDAS). The proposed specification considers a low frequency component, say monthly, in the conditional expectation of a daily non-negative process. The empirical application illustrates the...
We suggest a new Multiplicative Error Model which combines the mixed frequency features of a MIDAS at the monthly level with Markovian dynamics at the daily level. When estimated in‐sample on the realized kernel volatility of the S&P500 index, this model dominates other simpler specifications, ...