On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators (Q4976477)
From MaRDI portal
scientific article; zbMATH DE number 6754883
Language | Label | Description | Also known as |
---|---|---|---|
English | On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators |
scientific article; zbMATH DE number 6754883 |
Statements
On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators (English)
0 references
31 July 2017
0 references
autoregressive conditional duration
0 references
duration clustering
0 references
high frequency financial time series
0 references
model adequacy
0 references
parameter estimation uncertainty
0 references
spectral density
0 references
standardized duration residual
0 references
wavelet
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references