A simple IID test for autoregressive conditional duration models
Wei Yang and Fei Chen
| Year of publication: |
October 2016
|
|---|---|
| Authors: | Yang, Wei ; Chen, Fei |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 23.2016, 13/15, p. 1026-1028
|
| Subject: | Rank-based variance ratio test | IID test | ACD models | high-frequency financial data | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test | Börsenkurs | Share price | Schätztheorie | Estimation theory | Schätzung | Estimation | Statistische Bestandsanalyse | Duration analysis | Statistische Methodenlehre | Statistical theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2015.1130212 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011629494