Pages that link to "Item:Q4762171"

The following pages link to Non‐monotonic hazard functions and the autoregressive conditional duration model (Q4762171):

Displaying 46 items.

• Nonparametric specification tests for conditional duration models (Q262795) (← links)
• On Fréchet autoregressive conditional duration models (Q282897) (← links)
• A moment closed form estimator for the autoregressive conditional duration model (Q284183) (← links)
• A semiparametric conditional duration model (Q485700) (← links)
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
• A misspecification test for multiplicative error models of non-negative time series processes (Q888328) (← links)
• Econometric analysis of financial trade processes by discrete mixture duration models (Q959753) (← links)
• The Birnbaum-Saunders autoregressive conditional duration model (Q991167) (← links)
• Regime-switching Pareto distributions for ACD models (Q1010563) (← links)
• Intraday trade and quote dynamics: A Cox regression analysis (Q1013159) (← links)
• On the interday homogeneity in the intraday rate of trading (Q1013160) (← links)
• Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (Q1025337) (← links)
• Modeling financial durations using penalized estimating functions (Q1615270) (← links)
• Maximum likelihood estimates for positive valued dynamic score models; the DySco package (Q1623506) (← links)
• A family of autoregressive conditional duration models applied to financial data (Q1623666) (← links)
• A new approach to risk-return trade-off dynamics via decomposition (Q1656505) (← links)
• On estimating the nonparametric multiplicative error models (Q1668246) (← links)
• Bounds for the probability distribution function of the linear ACD process (Q1770076) (← links)
• Modeling the interdependence of volatility and inter-transaction duration processes. (Q1858921) (← links)
• A trend-switching financial time series model with level-duration dependence (Q1954678) (← links)
• Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data (Q2010814) (← links)
• On a quantile autoregressive conditional duration model (Q2079346) (← links)
• Frequency and severity estimation of cyber attacks using spatial clustering analysis (Q2172027) (← links)
• Goodness-of-fit tests in conditional duration models (Q2175644) (← links)
• Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
• A minimum distance lack-of-fit test in a Markovian multiplicative error model (Q2241533) (← links)
• Evaluating financial time series models for irregularly spaced data: a spectral density approach (Q2384591) (← links)
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations (Q2439048) (← links)
• The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics (Q2440157) (← links)
• A generalized least squares estimation method for the autoregressive conditional duration model (Q2633419) (← links)
• Density forecast of financial returns using decomposition and maximum entropy (Q2694014) (← links)
• Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty (Q3018666) (← links)
• The impact of transaction duration, volume and direction on price dynamics and volatility (Q3169221) (← links)
• Extension and verification of the asymmetric autoregressive conditional duration models (Q3174924) (← links)
• Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models (Q3615080) (← links)
• The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data (Q4555122) (← links)
• Additive Outlier Detection and Estimation for the Logarithmic Autoregressive Conditional Duration Model (Q4906413) (← links)
• Forecasting trade durations via ACD models with mixture distributions (Q5120735) (← links)
• Power-law behaviour in time durations between extreme returns (Q5247937) (← links)
• Inverse Gaussian Distribution for Modeling Conditional Durations in Finance (Q5415862) (← links)
• Multivariate Return Decomposition: Theory and Implications (Q5860929) (← links)
• Semiparametric Autoregressive Conditional Duration Model: Theory and Practice (Q5863565) (← links)
• Modeling and forecasting persistent financial durations (Q5864631) (← links)
• A nonlinear autoregressive conditional duration model with applications to financial transaction data (Q5944505) (← 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)