Evaluating financial time series models for irregularly spaced data: a spectral density approach (Q2384591): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.cor.2006.02.017 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2091444911 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric modelling of stock market intraday activity. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A nonlinear autoregressive conditional duration model with applications to financial transaction data / rank
 
Normal rank
Property / cites work
 
Property / cites work: GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non‐monotonic hazard functions and the autoregressive conditional duration model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2782362 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The stochastic conditional duration model: a latent variable model for the analysis of financial durations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric specification tests for conditional duration models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4779802 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a measure of lack of fit in time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the residual autocorrelation of the autoregressive conditional duration model / rank
 
Normal rank
Property / cites work
 
Property / cites work: DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3323077 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistent Testing for Serial Correlation of Unknown Form / rank
 
Normal rank
Property / cites work
 
Property / cites work: One‐sided testing for conditional heteroskedasticity in time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Econometrics of Ultra-high-frequency Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Handbook of econometrics. Vol. 4 / rank
 
Normal rank

Latest revision as of 09:43, 27 June 2024

scientific article
Language Label Description Also known as
English
Evaluating financial time series models for irregularly spaced data: a spectral density approach
scientific article

    Statements

    Evaluating financial time series models for irregularly spaced data: a spectral density approach (English)
    0 references
    0 references
    0 references
    10 October 2007
    0 references
    autoregressive conditional duration model
    0 references
    duration clustering
    0 references
    model adequacy
    0 references
    one-sided testing
    0 references
    spectral density
    0 references
    time series
    0 references

    Identifiers