A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
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Cites work
- A family of autoregressive conditional duration models
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Cited in
(11)- Regime-switching Pareto distributions for ACD models
- Modeling financial durations using penalized estimating functions
- A family of autoregressive conditional duration models
- Extension and verification of the asymmetric autoregressive conditional duration models
- A semiparametric conditional duration model
- Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
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