Periodic autoregressive conditional duration (Q5030949): Difference between revisions

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+Explosive strong periodic autoregression with multiplicity one
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+COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
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+Bayesian analysis of periodic asymmetric power GARCH models
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Time-varying autoregressive conditional duration model
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+Testing for periodic integration
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+UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Nonstationary autoregressive conditional duration models
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+Volatility forecast comparison using imperfect volatility proxies
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+Generalized ARMA models with martingale difference errors
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