Aknouche, Abdelhakim and Dimitrakopoulos, Stefanos (2021): Autoregressive conditional proportion: A multiplicativeerror model for (0,1)valued time series.

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Abstract
We propose a multiplicative autoregressive conditional proportion (ARCP) model for (0,1)valued time series, in the spirit of GARCH (generalized autoregressive conditional heteroscedastic) and ACD (autoregressive conditional duration) models. In particular, our underlying process is defined as the product of a (0,1)valued iid sequence and the inverted conditional mean, which, in turn, depends on past reciprocal observations in such a way that is larger than unity. The probability structure of the model is studied in the context of the stochastic recurrence equation theory, while estimation of the model parameters is performed by the exponential quasimaximum likelihood estimator (EQMLE). The consistency and asymptotic normality of the EQMLE are both established under general regularity assumptions. Finally, the usefulness of our proposed model is illustrated with simulated and two real datasets.
Item Type:  MPRA Paper 

Original Title:  Autoregressive conditional proportion: A multiplicativeerror model for (0,1)valued time series 
English Title:  Autoregressive conditional proportion: A multiplicativeerror model for (0,1)valued time series 
Language:  English 
Keywords:  Proportional time series data, BetaARMA model, Simplex ARMA, Autoregressive conditional duration, Exponential QMLE. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C25  Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C46  Specific Distributions ; Specific Statistics C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics 
Item ID:  110954 
Depositing User:  Prof. Abdelhakim Aknouche 
Date Deposited:  08 Dec 2021 06:32 
Last Modified:  08 Dec 2021 06:32 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/110954 