A moment closed form estimator for the autoregressive conditional duration model (Q284183): Difference between revisions

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+Time series: Theory and methods
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+The Econometrics of Ultra-high-frequency Data
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+Bathtub and Related Failure Rate Characterizations
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+Non‐monotonic hazard functions and the autoregressive conditional duration model
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+On Limit Theorems for Quadratic Functions of Discrete Time Series
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+Least absolute deviation estimation of autoregressive conditional duration model
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+A Generalization of the Gamma Distribution
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