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Autoregressive conditional duration : a new model for irregularly spaced transaction data
Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 5, pp. 1127-1162
Persistent link: https://www.econbiz.de/10001249588
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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1995
Persistent link: https://www.econbiz.de/10000929607
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Autoregressive conditional duration : a new model for irregularly spaced time series data
Engle, Robert F.; Russell, Jeffrey R. - 1995 - [Rev.]
Persistent link: https://www.econbiz.de/10000929636
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A nonlinear autoregressive conditional duration model with applications to financial transaction
Zhang, Michael Yuanjie; Russel, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179-207
Persistent link: https://www.econbiz.de/10001589535