Parameter change test for autoregressive conditional duration models (Q287530)
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scientific article; zbMATH DE number 6583497
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| English | Parameter change test for autoregressive conditional duration models |
scientific article; zbMATH DE number 6583497 |
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Parameter change test for autoregressive conditional duration models (English)
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20 May 2016
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nonlinear ACD models
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parameter change test
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CUSUM test
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Brownian bridge
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0.8466694355010986
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0.8265868425369263
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0.8208307027816772
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0.818794846534729
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0.8187425136566162
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