Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (Q1025337): Difference between revisions

@@ Property / author @@
-David E. Allen
@@ Property / author: David E. Allen / rank @@
-Normal rank
@@ Property / author @@
+David E. Allen
@@ Property / author: David E. Allen / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.matcom.2008.12.014
+Normal rank
@@ Property / OpenAlex ID @@
+W1992761800
@@ Property / OpenAlex ID: W1992761800 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
+Normal rank
@@ Property / cites work @@
+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
+Normal rank
@@ Property / cites work @@
+The Volatility of Realized Volatility
@@ Property / cites work: The Volatility of Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Nonparametric specification tests for conditional duration models
+Normal rank
@@ Property / cites work @@
+Stochastic volatility duration models
@@ Property / cites work: Stochastic volatility duration models / rank @@
+Normal rank
@@ Property / cites work @@
+GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
+Normal rank
@@ Property / cites work @@
+Non‐monotonic hazard functions and the autoregressive conditional duration model
+Normal rank
@@ Property / cites work @@
+Modeling the interdependence of volatility and inter-transaction duration processes.
+Normal rank
@@ Property / cites work @@
+A TEST FOR MARKOFF CHAINS
@@ Property / cites work: A TEST FOR MARKOFF CHAINS / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Remarks on a Multivariate Transformation
@@ Property / cites work: Remarks on a Multivariate Transformation / rank @@
+Normal rank
@@ Property / cites work @@
+Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
+Normal rank
@@ Property / cites work @@
+A nonlinear autoregressive conditional duration model with applications to financial transaction data
+Normal rank