Evaluating models of autoregressive conditional duration
Year of publication: |
2004-03-08
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Authors: | Meitz, Mika ; Teräsvirta, Timo |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | ACD model | Model misspecification test | Lagrange multiplier test | Smooth transition ACD model | Nonlinear time series | Parameter constancy |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The published version can be obtained through the official journal website: http://www.amstat.org/publications/jbes/ Published in Journal of Business and Economic Statistics, 2006, pages 104-124. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 557 36 pages |
Classification: | C22 - Time-Series Models ; C41 - Duration Analysis ; C52 - Model Evaluation and Testing |
Source: |
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Evaluating models of autoregressive conditional duration
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