A family of autoregressive conditional duration models

DOI10.1016/j.jeconom.2004.08.016zbMath1337.62259OpenAlexW1721315448MaRDI QIDQ269391

Marcelo Fernandes, Joachim Grammig

Publication date: 18 April 2016

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

Full work available at URL: http://hdl.handle.net/10438/617

zbMATH Keywords

asymmetrystationaritymixing propertyBox-Cox transformationprice durationshocks impact curve

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Economic time series analysis (91B84)

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