On Fréchet autoregressive conditional duration models (Q282897): Difference between revisions

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-.1016/j.jspi.2016.02.009
@@ Property / DOI: 10.1016/j.jspi.2016.02.009 / rank @@
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+Generalized autoregressive conditional heteroscedasticity
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+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Non‐monotonic hazard functions and the autoregressive conditional duration model
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+Maximum likelihood estimators in a statistical model of natural catastrophe claims with trend
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+Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
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+Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
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+Quantile Correlations and Quantile Autoregressive Modeling
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+ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
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+On a measure of lack of fit in time series models
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+DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+Least absolute deviations estimation for ARCH and GARCH models
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+Estimation in conditionally heteroscedatic time series models.
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+A nonlinear autoregressive conditional duration model with applications to financial transaction data
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@@ Property / DOI @@
+.1016/J.JSPI.2016.02.009
@@ Property / DOI: 10.1016/J.JSPI.2016.02.009 / rank @@
+Normal rank