A moment closed form estimator for the autoregressive conditional duration model (Q284183): Difference between revisions

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-.1007/s00362-014-0652-0
@@ Property / DOI: 10.1007/s00362-014-0652-0 / rank @@
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+https://doi.org/10.1007/s00362-014-0652-0
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+W2027472005
@@ Property / OpenAlex ID: W2027472005 / rank @@
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@@ Property / cites work @@
+Time series: Theory and methods
@@ Property / cites work: Time series: Theory and methods / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
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+Bathtub and Related Failure Rate Characterizations
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+Non‐monotonic hazard functions and the autoregressive conditional duration model
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+On Limit Theorems for Quadratic Functions of Discrete Time Series
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+Least absolute deviation estimation of autoregressive conditional duration model
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+A Generalization of the Gamma Distribution
@@ Property / cites work: A Generalization of the Gamma Distribution / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S00362-014-0652-0
@@ Property / DOI: 10.1007/S00362-014-0652-0 / rank @@
+Normal rank