Diagnostic checking of Markov multiplicative error models (Q1787720): Difference between revisions

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+Handbook of Volatility Models and Their Applications
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+A misspecification test for multiplicative error models of non-negative time series processes
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+LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
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+A nonlinear autoregressive conditional duration model with applications to financial transaction data
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