Diagnostic checking for Weibull autoregressive conditional duration models

DOI10.1007/978-1-4939-6568-7_4MaRDI QIDQ4976478zbMATH OpenOpenAlexFDO

Authors Yao Zheng, Yang Li, Wai Keung Li, Guodong Li

Publication date 31 July 2017

Published in Advances in Time Series Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-6568-7_4

zbMATH Keywords

Weibull distributionautoregressive conditional duration modelresidual autocorrelationmodel diagnostic checking

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• Analysis of financial time series
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Generalized autoregressive conditional heteroscedasticity
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• On a measure of lack of fit in time series models
• On the residual autocorrelation of the autoregressive conditional duration model

Cited in

(3)

• On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
• On the residual autocorrelation of the autoregressive conditional duration model
• On diagnostic checking of the autoregressive conditional intensity model

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