On the residual autocorrelation of the autoregressive conditional duration model (Q1927300): Difference between revisions

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+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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+Significance levels of the Box-Pierce portmanteau statistic in finite samples
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
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+https://doi.org/10.1016/s0165-1765(02)00303-8
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+W1995090621
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+Publication:1927300