Evaluating financial time series models for irregularly spaced data: a spectral density approach

DOI10.1016/j.cor.2006.02.017zbMath1139.91027MaRDI QIDQ2384591

Maria Pacurar, Pierre Duchesne

Publication date: 10 October 2007

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2006.02.017

zbMATH Keywords

time series; spectral density; autoregressive conditional duration model; model adequacy; one-sided testing; duration clustering

Mathematics Subject Classification ID

62H30: Classification and discrimination; cluster analysis (statistical aspects)

91B82: Statistical methods; economic indices and measures

Related Items

On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators, Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes, Evaluating multiplicative error models: a residual-based approach, Diagnostic checking of the vector multiplicative error model, Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data, On diagnostic checking of the autoregressive conditional intensity model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonparametric specification tests for conditional duration models
• On the residual autocorrelation of the autoregressive conditional duration model
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Econometric modelling of stock market intraday activity.
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• On a measure of lack of fit in time series models
• One‐sided testing for conditional heteroskedasticity in time series models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• The Econometrics of Ultra-high-frequency Data
• Consistent Testing for Serial Correlation of Unknown Form
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Handbook of econometrics. Vol. 4