The Birnbaum-Saunders autoregressive conditional duration model

DOI10.1016/J.MATCOM.2010.01.011zbMath1195.62136OpenAlexW1999765709MaRDI QIDQ991167

Chad R. Bhatti

Publication date: 2 September 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.01.011

zbMATH Keywords

conditional quantile estimationdependent point processduration modelingfinancial transaction data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point estimation (62F10)

Related Items (34)

Bimodal Birnbaum–Saunders generalized autoregressive score model ⋮ A family of autoregressive conditional duration models applied to financial data ⋮ The exponentiated generalized Birnbaum-Saunders distribution ⋮ Extension and verification of the asymmetric autoregressive conditional duration models ⋮ Unnamed Item ⋮ About Birnbaum–Saunders Distributions Based on the Johnson System ⋮ On mean-based bivariate Birnbaum-Saunders distributions: Properties, inference and application ⋮ Exploring the potential use of the Birnbaum-Saunders distribution in inventory management ⋮ Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model ⋮ Shape and change point analyses of the Birnbaum-Saunders-\(t\) hazard rate and associated estimation ⋮ Log‐symmetric quantile regression models ⋮ Bootstrap prediction intervals for autoregressive conditional duration models ⋮ Bayesian inference for the Birnbaum-Saunders nonlinear regression model ⋮ Testing hypotheses in the Birnbaum-Saunders distribution under type-II censored samples ⋮ Forecasting trade durations via ACD models with mixture distributions ⋮ Modeling wind energy flux by a Birnbaum–Saunders distribution with an unknown shift parameter ⋮ A new extension of the Birnbaum-Saunders distribution ⋮ A methodology for stochastic inventory models based on a zero‐adjusted Birnbaum‐Saunders distribution ⋮ Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance ⋮ A log-Birnbaum–Saunders regression model with asymmetric errors ⋮ Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data ⋮ Birnbaum‐Saunders distribution: A review of models, analysis, and applications ⋮ Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” ⋮ Authors' Rejoinder ⋮ Unnamed Item ⋮ Generalized Birnbaum-Saunders kernel density estimators and an analysis of financial data ⋮ Multivariate Birnbaum–Saunders regression model ⋮ Birnbaum–Saunders statistical modelling: a new approach ⋮ On a new class of skewed Birnbaum-Saunders models ⋮ The odd Birnbaum-Saunders regression model with applications to lifetime data ⋮ On asymmetric regression models with allowance for temporal dependence ⋮ On a quantile autoregressive conditional duration model ⋮ On a bimodal Birnbaum-Saunders distribution with applications to lifetime data ⋮ On a new type of Birnbaum-Saunders models and its inference and application to fatigue data

Uses Software

• R
• numDeriv

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A family of autoregressive conditional duration models
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Birnbaum-Saunders nonlinear regression models
• Inference procedures for the Birnbaum-Saunders distribution and its generalizations
• Regime-switching Pareto distributions for ACD models
• Intraday trade and quote dynamics: A Cox regression analysis
• On the interday homogeneity in the intraday rate of trading
• Improved statistical inference for the two-parameter Birnbaum-Saunders distribution
• Diagnostics analysis for log-Birnbaum-Saunders regression models
• Influence diagnostics in log-Birnbaum-Saunders regression models with censored data
• On the hazard function of Birnbaum-Saunders distribution and associated inference
• On Birnbaum-Saunders inference
• Evaluating GARCH models.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Estimation of parameters for a Birnbaum–Saunders regression model with censored data
• Random number generators for the generalized Birnbaum–Saunders distribution
• Pseudo Maximum Likelihood Methods: Theory
• Stochastic models of failure in random environments
• Inference in the Generalized Gamma and Log Gamma Distributions
• Inferences on the Parameters of the Birnbaum-Saunders Fatigue Life Distribution Based on Maximum Likelihood Estimation
• Bathtub and Related Failure Rate Characterizations
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• A Smooth Transition Autoregressive Conditional Duration Model
• Bootstrap-based improved estimators for the two-parameter Birnbaum–Saunders distribution
• A new family of life distributions
• Estimation for a family of life distributions with applications to fatigue
• Inferential Procedures for the Generalized Gamma Distribution
• A Generalization of the Gamma Distribution
• A Log-Linear Model for the Birnbaum-Saunders Distribution
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

This page was built for publication: The Birnbaum-Saunders autoregressive conditional duration model