An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models
Year of publication: |
2012
|
---|---|
Authors: | Saart, Patrick ; Gao, Jiti |
Publisher: |
[S.l.] : SSRN |
Subject: | Schätzung | Estimation | Dauer | Duration | Autokorrelation | Autocorrelation | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Statistische Bestandsanalyse | Duration analysis | Statistischer Test | Statistical test |
Extent: | 1 Online-Ressource (41 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 16, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2130454 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C41 - Duration Analysis ; F31 - Foreign Exchange |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Semiparametric Autoregressive Conditional Duration Model : Theory and Practice
Saart, Patrick, (2012)
-
A nonparametric method for predicting survival probabilities
Klaauw, Bas van der, (2015)
-
A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data
Vuorenmaa, Tommi A., (2011)
- More ...
-
Semiparametric methods in nonlinear time series analysis : a selective review
Saart, Patrick, (2012)
-
Semiparametric Autoregressive Conditional Duration Model : Theory and Practice
Saart, Patrick, (2012)
-
Semiparametric Autoregressive Conditional Duration Model : Theory and Practice
Saart, Patrick, (2012)
- More ...