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Search: subject:"autoregressive conditional duration"
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autoregressive conditional duration
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Blasques, Francisco
8
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ECONIS (ZBW)
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1
Autoregressive conditional durations : an application to the Surinamese dollar versus the US dollar exchange rate
Ooft, Gavin
;
Franses, Philip Hans
;
Bhaghoe, Sailesh
- In:
Review of development economics : an essential resource …
27
(
2023
)
4
,
pp. 2618-2637
Persistent link: https://www.econbiz.de/10014427710
Saved in:
2
Testing for a serial correlation in VaR failures through the exponential
autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in Transition New Series
22
(
2021
)
1
,
pp. 145-162
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012600284
Saved in:
3
Testing for a serial correlation in VaR failures through the exponential
autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in transition : an international journal of …
22
(
2021
)
1
,
pp. 145-162
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012487146
Saved in:
4
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
5
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
Saved in:
6
Uso del modelo autorregresivo de duración condicional para predecir la caída del dólar en el mercado cambiario colombiano
Gallego Escudero, Héctor Fabio
;
Ríos Saavedra, Omar …
- In:
Revista de economía del Rosario
23
(
2020
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012426679
Saved in:
7
Autoregressive
conditional
duration
models for high frequency financial data : an empirical study on mid cap exchange traded funds
Nunkoo, Houmera Bibi Sabera
;
Gonpot, Preethee Nunkoo
; …
- In:
Studies in economics and finance
39
(
2022
)
1
,
pp. 150-173
Persistent link: https://www.econbiz.de/10012798505
Saved in:
8
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:
9
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:
10
Clustering of arrivals in queueing systems :
autoregressive
conditional
duration
approach
Tomanová, Petra
;
Holý, Vladimír
- In:
Central European journal of operations research
29
(
2021
)
3
,
pp. 859-874
Persistent link: https://www.econbiz.de/10012587718
Saved in:
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