A nonlinear autoregressive conditional duration model with applications to financial transaction data

DOI10.1016/S0304-4076(01)00063-XzbMath1108.62336MaRDI QIDQ5944505

Jeffrey R. Russell, Ruey S. Tsay, Michael Yuanjie Zhang

Publication date: 10 October 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Nonlinear time series; Autoregressive conditional duration; Duration models; Market microstructure; Structural break

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B62: Economic growth models

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