Semiparametric Autoregressive Conditional Duration Model : Theory and Practice
Year of publication: |
2012
|
---|---|
Authors: | Saart, Patrick |
Other Persons: | Gao, Jiti (contributor) ; Allen, David E. (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Dauer | Duration | Theorie | Theory | Schätzung | Estimation | Statistische Bestandsanalyse | Duration analysis | Autokorrelation | Autocorrelation |
Extent: | 1 Online-Ressource (50 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 25, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2141546 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C41 - Duration Analysis ; F31 - Foreign Exchange |
Source: | ECONIS - Online Catalogue of the ZBW |
-
An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models
Saart, Patrick, (2012)
-
A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data
Vuorenmaa, Tommi A., (2011)
-
Blasques, Francisco, (2019)
- More ...
-
Semiparametric Autoregressive Conditional Duration Model : Theory and Practice
Saart, Patrick, (2012)
-
Semiparametric methods in nonlinear time series analysis : a selective review
Saart, Patrick, (2012)
-
On Endogeneity and Shape Invariance in Extended Partially Linear Single Index Models
Gao, Jiti, (2018)
- More ...