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)

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Uses Software

• R
• numDeriv

Cites Work

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