Evaluating financial time series models for irregularly spaced data: a spectral density approach (Q2384591): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cor.2006.02.017
+Normal rank
@@ Property / OpenAlex ID @@
+W2091444911
@@ Property / OpenAlex ID: W2091444911 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Econometric modelling of stock market intraday activity.
+Normal rank
@@ Property / cites work @@
+A nonlinear autoregressive conditional duration model with applications to financial transaction data
+Normal rank
@@ Property / cites work @@
+GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
+Normal rank
@@ Property / cites work @@
+Non‐monotonic hazard functions and the autoregressive conditional duration model
+Normal rank
@@ Property / cites work @@
+Q2782362
@@ Property / cites work: Q2782362 / rank @@
+Normal rank
@@ Property / cites work @@
+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
+Normal rank
@@ Property / cites work @@
+Nonparametric specification tests for conditional duration models
+Normal rank
@@ Property / cites work @@
+Q4779802
@@ Property / cites work: Q4779802 / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
+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 @@
+On the residual autocorrelation of the autoregressive conditional duration model
+Normal rank
@@ Property / cites work @@
+DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent Testing for Serial Correlation of Unknown Form
+Normal rank
@@ Property / cites work @@
+One‐sided testing for conditional heteroskedasticity in time series models
+Normal rank
@@ Property / cites work @@
+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
+Normal rank
@@ Property / cites work @@
+Handbook of econometrics. Vol. 4
@@ Property / cites work: Handbook of econometrics. Vol. 4 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2384591