Pages that link to "Item:Q269391"
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The following pages link to A family of autoregressive conditional duration models (Q269391):
Displayed 40 items.
- Nonparametric specification tests for conditional duration models (Q262795) (← links)
- Parameter change test for autoregressive conditional duration models (Q287530) (← links)
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272) (← links)
- Fitting a two phase threshold multiplicative error model (Q515143) (← links)
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
- On nonergodicity for nonparametric autoregressive models (Q681119) (← links)
- Testing for unobserved heterogeneity in exponential and Weibull duration models (Q736541) (← links)
- Bayesian estimation and inference for log-ACD models (Q736572) (← links)
- Econometric analysis of financial trade processes by discrete mixture duration models (Q959753) (← links)
- Nonparametric density estimation for positive time series (Q962247) (← links)
- The Birnbaum-Saunders autoregressive conditional duration model (Q991167) (← links)
- Intraday trade and quote dynamics: A Cox regression analysis (Q1013159) (← links)
- On the interday homogeneity in the intraday rate of trading (Q1013160) (← links)
- A family of autoregressive conditional duration models applied to financial data (Q1623666) (← links)
- Entropy test and residual empirical process for autoregressive conditional duration models (Q1663317) (← links)
- Statistical inference for the doubly stochastic self-exciting process (Q1750090) (← links)
- Bounds for the probability distribution function of the linear ACD process (Q1770076) (← links)
- On a quantile autoregressive conditional duration model (Q2079346) (← links)
- Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
- A simple R-estimation method for semiparametric duration models (Q2227067) (← links)
- Generalized duration models and optimal estimation using estimating functions (Q2255169) (← links)
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models (Q2340394) (← links)
- Least absolute deviation estimation of autoregressive conditional duration model (Q2431048) (← links)
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438) (← links)
- SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS (Q2986524) (← links)
- Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models (Q3007553) (← links)
- Extension and verification of the asymmetric autoregressive conditional duration models (Q3174924) (← links)
- Analysing liquidity and absorption limits of electronic markets with volume durations (Q3518375) (← links)
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (Q3632419) (← links)
- Testing weak exogeneity in multiplicative error models (Q4555167) (← links)
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes (Q4979076) (← links)
- NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES (Q5045342) (← links)
- Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation (Q5111852) (← links)
- On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations (Q5222480) (← links)
- Semiparametric Autoregressive Conditional Duration Model: Theory and Practice (Q5863565) (← links)
- A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model (Q5863653) (← links)
- Modeling and forecasting persistent financial durations (Q5864631) (← links)
- Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
- A class of minimum distance estimators in Markovian multiplicative error models (Q6108880) (← links)
- Tail behavior of ACD models and consequences for likelihood-based estimation (Q6193064) (← links)