On the residual autocorrelation of the autoregressive conditional duration model (Q1927300): Difference between revisions
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| Property / cites work: Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models / rank | |||
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| Property / cites work: Significance levels of the Box-Pierce portmanteau statistic in finite samples / rank | |||
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| Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank | |||
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| Property / cites work: ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY / rank | |||
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Latest revision as of 01:43, 6 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the residual autocorrelation of the autoregressive conditional duration model |
scientific article |
Statements
On the residual autocorrelation of the autoregressive conditional duration model (English)
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1 January 2013
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asymptotic distribution
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autoregressive conditional duration models
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goodness-of-fit test
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residual autocorrelations
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