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autoregressive conditional duration
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Blasques, Francisco
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1
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
Zero-inflated
autoregressive
conditional
duration
model for discrete trade durations with excessive zeros
Blasques, Francisco
;
Holý, Vladimír
;
Tomanová, Petra
-
2019
In finance, durations between successive transactions are usually modelled by the
autoregressive
conditional
duration
…
Persistent link: https://www.econbiz.de/10011954223
Saved in:
3
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
; …
-
Tinbergen Instituut
-
2015
heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences between the actual coverage …
Persistent link: https://www.econbiz.de/10011256671
Saved in:
4
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:
5
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
Saved in:
6
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
-
2015
autoregressive conditional heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences …
Persistent link: https://www.econbiz.de/10011295703
Saved in:
7
In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
-
2015
heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences between the actual coverage …
Persistent link: https://www.econbiz.de/10010484891
Saved in:
8
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
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