TY - GEN A1 - Härdle, Wolfgang Karl A1 - Hautsch, Nikolaus A1 - Mihoci, Andrija T1 - Local Adaptive Multiplicative Error Models for High-Frequency Forecasts T2 - Journal of Applied Econometrics N2 - 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 data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time. Analysing 1-minute cumulative trading volumes of five large NASDAQ stocks in 2008, we show that local windows of approximately 3 to 4 hours are reasonable to capture parameter variations while balancing modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM where local estimation windows are fixed on an ad hoc basis. KW - Multiplicative Error Model KW - Local Adaptive Modelling KW - High-Frequency Processes KW - Trading Volume KW - Forecasting Y1 - 2015 UR - http://onlinelibrary.wiley.com/doi/10.1002/jae.2376/abstract U6 - https://doi.org/10.1002/jae.2376 SN - 1099-1255 VL - 30 IS - 4 SP - 529 EP - 550 ER - TY - RPRT A1 - Härdle, Wolfgang Karl A1 - Hautsch, Nikolaus A1 - Mihoci, Andrija T1 - Local Adaptive Multiplicative Error Models for High-Frequency Forecasts N2 - We propose a local adaptive multiplicative error model (MEM) accommodating time varyingparameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time. Analyzing one-minute cumulative trading volumes of five large NASDAQ stocks in 2008, we show that local windows of approximately 3 to 4 hours are reasonable to capture parameter variations while balancing modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM where local estimation windows are fixed on an ad hoc basis. KW - Multiplicative Error Model KW - Local Adaptive Modelling KW - High-Frequency Processes KW - Trading Volume KW - Forecasting Y1 - 2012 UR - https://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-031.pdf PB - SFB 649 CY - Berlin ER -