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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
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Non-parametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2000
Persistent link: https://www.econbiz.de/10001480448
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The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks
Bauwens, Luc; Giot, Pierre - In: Annales d'économie et de statistique (2000), pp. 117-149
Persistent link: https://www.econbiz.de/10001543399
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Unobserved components in economic time series
Maravall Herrero, Agustín - 1993
Persistent link: https://www.econbiz.de/10000889047
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Time irreversibility and business cycle asymmetry
Ramsey, James B.; Rothman, Philip - 1993
Persistent link: https://www.econbiz.de/10000873611
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The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
El Din, Tarek Mohy - 1997
Persistent link: https://www.econbiz.de/10000623956
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Structural analysis of vector error correction models with exogenous I(1) variables
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - 1997
Persistent link: https://www.econbiz.de/10000629002
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Unobserved components in economic time series
Maravall, Agustín - 1993
Persistent link: https://www.econbiz.de/10000142923
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Non- and semiparametric identification of seasonal nonlinear autoregession models
Yang, Lijian; Tschernig, Rolf - 1998
Persistent link: https://www.econbiz.de/10000168640