Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272): Difference between revisions

@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
+Normal rank
@@ Property / cites work @@
+Threshold Autoregression with a Unit Root
@@ Property / cites work: Threshold Autoregression with a Unit Root / rank @@
+Normal rank
@@ Property / cites work @@
+ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
@@ Property / cites work: ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+Q4318617
@@ Property / cites work: Q4318617 / rank @@
+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 @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+A family of autoregressive conditional duration models
+Normal rank
@@ Property / cites work @@
+GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
+Normal rank
@@ Property / cites work @@
+AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Q4084474
@@ Property / cites work: Q4084474 / rank @@
+Normal rank
@@ Property / cites work @@
+Threshold models in non-linear time series analysis
+Normal rank
@@ Property / cites work @@
+A nonlinear autoregressive conditional duration model with applications to financial transaction data
+Normal rank