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Testing of binary regime switching models using squeeze duration analysis
Das, Milan Kumar; Goswami, Anindya - In: International journal of financial engineering 6 (2019) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10012028860
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A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
Brownlees, Christian; Vannucci, Marina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 1, pp. 21-46
Persistent link: https://www.econbiz.de/10009717739
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Semiparametric autoregressive conditional duration model : theory and practice
Saart, Patrick W.; Gao, Jiti; Allen, David E. - In: Econometric reviews 34 (2015) 6/10, pp. 849-881
Persistent link: https://www.econbiz.de/10011483396
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A smooth transition autoregressive conditional duration model
Chiang, Min-Hsien - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10009512623
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Spline based survival model for credit risk modeling
Luo, Sirong; Kong, Xiao; Nie, Tingting - In: European journal of operational research : EJOR 253 (2016) 3, pp. 869-879
Persistent link: https://www.econbiz.de/10011494111
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Nonlinear scaling behavior of visible volatility duration for financial statistical physics dynamics
Zhang, B.; Wang, J.; Zhang, W.; Wang, G. C. - In: Computational economics 56 (2020) 2, pp. 373-389
Persistent link: https://www.econbiz.de/10012272040
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Heterogeneity and unemployment dynamics
Ahn, Hie Joo; Hamilton, James D. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 554-569
Persistent link: https://www.econbiz.de/10012262494
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A simple IID test for autoregressive conditional duration models
Yang, Wei; Chen, Fei - In: Applied economics letters 23 (2016) 13/15, pp. 1026-1028
Persistent link: https://www.econbiz.de/10011629494
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A goodness-of-fit test for a class of autoregressive conditional duration models
Perera, Indeewara; Hidalgo, Javier; Silvapulle, Mervyn J. - In: Econometric reviews 35 (2016) 5/7, pp. 1111-1141
Persistent link: https://www.econbiz.de/10011591144
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Testing the hypothesis of duration dependence in the US housing market
Dettoni, Robinson; Gil-Alaña, Luis A. - In: Finance research letters 58 (2023) 4, pp. 1-9
Persistent link: https://www.econbiz.de/10014632834