A family of autoregressive conditional duration models (Q269391): Difference between revisions

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+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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+B84
@@ Property / Mathematics Subject Classification ID: 91B84 / rank @@
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+G10
@@ Property / Mathematics Subject Classification ID: 60G10 / rank @@
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@@ Property / zbMATH DE Number @@
+6570271
@@ Property / zbMATH DE Number: 6570271 / rank @@
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@@ Property / zbMATH Keywords @@
+asymmetry
@@ Property / zbMATH Keywords: asymmetry / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Box-Cox transformation
@@ Property / zbMATH Keywords: Box-Cox transformation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mixing property
@@ Property / zbMATH Keywords: mixing property / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+price duration
@@ Property / zbMATH Keywords: price duration / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+shocks impact curve
@@ Property / zbMATH Keywords: shocks impact curve / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stationarity
@@ Property / zbMATH Keywords: stationarity / rank @@
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+W1721315448
@@ Property / OpenAlex ID: W1721315448 / rank @@
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@@ Property / cites work @@
+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
+Normal rank
@@ Property / cites work @@
+Q5538617
@@ Property / cites work: Q5538617 / rank @@
+Normal rank
@@ Property / cites work @@
+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
+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 @@
+Properties of moments of a family of GARCH processes
+Normal rank
@@ Property / cites work @@
+MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH  MODELS
+Normal rank
@@ Property / cites work @@
+Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
+Normal rank
@@ Property / cites work @@
+The mixing property of bilinear and generalised random coefficient autoregressive models
+Normal rank
@@ Property / cites work @@
+Q2782362
@@ Property / cites work: Q2782362 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4727203
@@ Property / cites work: Q4727203 / rank @@
+Normal rank
@@ Property / cites work @@
+The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models
+Normal rank
@@ Property / cites work @@
+A nonlinear autoregressive conditional duration model with applications to financial transaction data
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:269391