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autoregressive conditional duration
2
delta-method
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Autoregressive Conditional Duration Model
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Financial High-Frequency Data
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Generalized Autoregressive Score Model
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Zero-Inflated Negative Binomial Distribution
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generalized autoregressive
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generalized autoregressive conditional heteroskedasticity
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Blasques, Francisco
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Zero-Inflated
Autoregressive
Conditional
Duration
Model for Discrete Trade Durations with Excessive Zeros
Blasques, Francisco
;
Hol´y, Vladimír
;
Tomanová, Petra
-
2019
In finance, durations between successive transactions are usually modelled by the
autoregressive
conditional
duration
…
Persistent link: https://www.econbiz.de/10012114757
Saved in:
2
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
; …
-
2015
autoregressive conditional heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences …
Persistent link: https://www.econbiz.de/10011403547
Saved in:
3
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
; …
-
2015
heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences between the actual coverage …
Persistent link: https://www.econbiz.de/10010491409
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