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

@@ Property / DOI @@
-.1016/j.jspi.2016.02.009
@@ Property / DOI: 10.1016/j.jspi.2016.02.009 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / zbMATH DE Number @@
+6580039
@@ Property / zbMATH DE Number: 6580039 / rank @@
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@@ Property / zbMATH Keywords @@
+ACD models
@@ Property / zbMATH Keywords: ACD models / rank @@
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@@ Property / zbMATH Keywords @@
+extreme values
@@ Property / zbMATH Keywords: extreme values / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Fréchet distribution
@@ Property / zbMATH Keywords: Fréchet distribution / rank @@
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+heavy tails
@@ Property / zbMATH Keywords: heavy tails / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2301843551
@@ Property / OpenAlex ID: W2301843551 / rank @@
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@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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@@ Property / cites work @@
+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
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@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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@@ Property / cites work @@
+Non‐monotonic hazard functions and the autoregressive conditional duration model
+Normal rank
@@ Property / cites work @@
+Q5613647
@@ Property / cites work: Q5613647 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimators in a statistical model of natural catastrophe claims with trend
+Normal rank
@@ Property / cites work @@
+Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
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@@ Property / cites work @@
+Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
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@@ Property / cites work @@
+Q3502474
@@ Property / cites work: Q3502474 / rank @@
+Normal rank
@@ Property / cites work @@
+Quantile Correlations and Quantile Autoregressive Modeling
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@@ Property / cites work @@
+ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
@@ Property / cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
+Normal rank
@@ Property / cites work @@
+DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
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@@ Property / cites work @@
+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
+Normal rank
@@ Property / cites work @@
+Least absolute deviations estimation for ARCH and GARCH models
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@@ Property / cites work @@
+Estimation in conditionally heteroscedatic time series models.
+Normal rank
@@ Property / cites work @@
+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
@@ links / mardi / name / links / mardi / name @@
+Publication:282897