@TECHREPORT {SFB649DP2014-035,
  AUTHOR={H\"{a}rdle, Wolfgang K. and Mihoci, Andrija and Ting, Christopher Hian-Ann},
  TITLE={{Adaptive Order Flow Forecasting with Multiplicative Error Models}},
  YEAR=2014,
  INSTITUTION={Sonderforschungsbereich 649, Humboldt Universit\"{a}t zu Berlin, Germany},
  TYPE={SFB 649 Discussion Paper},
  NOTE={available at http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2014-035.pdf},
  NUMBER={2014-035}
}