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An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models
Saart, Patrick; Gao, Jiti - 2012
Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration … the financial duration in question.This paper illustrates that the testing procedure developed is applicable to various …
Persistent link: https://www.econbiz.de/10014166683
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Bayesian estimation and prediction for ACD models in the analysis of trade durations from the Polish stock market
Huptas, Roman - In: Central European journal of economic modelling and … 6 (2014) 4, pp. 237-273
Persistent link: https://www.econbiz.de/10010503009
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A family of autoregressive conditional duration models
Fernandes, Marcelo (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001703153
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A family of autoregressive conditional duration models
Fernandes, Marcelo (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001955244
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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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Duration, trading volume and the price impact of trades in an emerging futures market
Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - In: Emerging markets review 17 (2013), pp. 89-105
Persistent link: https://www.econbiz.de/10010243112
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Time-varying autoregressive conditional duration model
Bortoluzzo, Adriana Bruscato; Morettin, Pedro A.; … - 2009
Persistent link: https://www.econbiz.de/10008797385
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A general family of autoregressive conditional duration models applied to high-frequency financial data
Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of risk and financial management : JRFM 13 (2020) 3/45, pp. 1-20
In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models …
Persistent link: https://www.econbiz.de/10012174138
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Estimating long memory in volatility
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 4, pp. 1283-1328
Persistent link: https://www.econbiz.de/10003013700
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Nonstationary autoregressive conditional duration models
Mishra, Anuj; Ramanathan, Thekke Variyam - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10011743716