Fitting a two phase threshold multiplicative error model (Q515143): Difference between revisions

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+Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
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+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
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+Q4494125
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+Handbook of Volatility Models and Their Applications
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+Financial econometric analysis at ultra-high frequency: Data handling concerns
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+Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
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+On conditionally heteroscedastic AR models with thresholds
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+Discussion of ``Feature matching in time series modeling'' by Y. Xia and H. Tong
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+Q5434186
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+BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL
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+A multiple indicators model for volatility using intra-daily data
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
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+Nonparametric specification tests for conditional duration models
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+A family of autoregressive conditional duration models
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+A misspecification test for multiplicative error models of non-negative time series processes
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+Consistent ranking of volatility models
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+Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
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+DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
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+Fitting Segmented Curves Whose Join Points Have to be Estimated
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+Martingale Approach in the Theory of Goodness-of-Fit Tests
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+Fitting an error distribution in some heteroscedastic time series models
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+LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
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+Asymptotics of maximum likelihood estimator in a two-phase linear regression model
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+Asymptotics of M-estimators in two-phase linear regression models.
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+Q5262066
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+Nonparametric model checks for time series
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+Q3378791
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+On a measure of lack of fit in time series models
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+Probabilistic forecasts of volatility and its risk premia
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+Volatility forecast comparison using imperfect volatility proxies
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+A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models
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+SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS
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+Model checks for regression: an innovation process approach
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+Q3999154
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+Threshold models in time series analysis -- 30 years on
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+Threshold models in time series analysis -- some reflections
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+A nonlinear autoregressive conditional duration model with applications to financial transaction data
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