A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
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Cites work
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 3797051 (Why is no real title available?)
- A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
- A family of autoregressive conditional duration models
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
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- Multilayer feedforward networks are universal approximators
- Non-linear time series and Markov chains
- Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
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Cited in
(11)- Semiparametric autoregressive conditional duration model: theory and practice
- A family of autoregressive conditional duration models
- Modeling financial durations using penalized estimating functions
- Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
- Regime-switching Pareto distributions for ACD models
- A semiparametric conditional duration model
- Tail behavior of ACD models and consequences for likelihood-based estimation
- A random parameter AACD model and its geometric ergodicity
- Extension and verification of the asymmetric autoregressive conditional duration models
- On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
- A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
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