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~institution:"Center for Applied Economics and Policy Research (CAEPR), Department of Economics"
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Autoregressive Conditional Duration
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Dispersion Clustering
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Finite Sample Correction
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Generalized Spectral Derivative
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Hong, Yongmiao
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Lee, Yoon-Jin
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Center for Applied Economics and Policy Research (CAEPR), Department of Economics
School of Economics, Singapore Management University
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Department Volkswirtschaftslehre, Fachbereich für Wirtschaftswissenschaften
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Department of Economics, Oxford University
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Department of Economics, University of California-San Diego (UCSD)
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Detecting Misspecifications in
Autoregressive
Conditional
Duration
Models
Hong, Yongmiao
;
Lee, Yoon-Jin
-
Center for Applied Economics and Policy Research …
-
2007
We propose a new class of specification tests for
Autoregressive
Conditional
Duration
(ACD) models. Both linear and …
Persistent link: https://www.econbiz.de/10005727846
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