Inverse Gaussian distribution for modeling conditional durations in finance

DOI10.1080/03610918.2012.705938MaRDI QIDQ5415862zbMATH OpenOpenAlexFDO

Authors

Publication date 19 May 2014

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2012.705938

zbMATH Keywords

efficient importance samplingfinancial time seriesinverse Gaussian distributionstochastic conditional duration models

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• Analysis of Financial Time Series
• Efficient high-dimensional importance sampling
• Efficient importance sampling for ML estimation of SCD models
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

Cited in

(5)

• On the exact distribution of the likelihood ratio test statistic for testing the homogeneity of the scale parameters of several inverse Gaussian distributions
• Testing the equality of several inverse Gaussian means under heterogeneity
• Bootstrap prediction intervals for autoregressive conditional duration models
• New parameterization of stochastic conditional range models for financial volatility modelling
• Unified mixture sampler for state-space models: application to stochastic conditional duration models

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