On a quantile autoregressive conditional duration model

DOI10.1016/J.MATCOM.2022.06.032MaRDI QIDQ2079346zbMATH OpenOpenAlexFDO

Authors Helton Saulo, Roberto Vila, Narayanaswamy Balakrishnan

Publication date 29 September 2022

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.03844

zbMATH Keywords

conditional quantileECM algorithmfinancial transaction dataMonte Carlo simulationskewed Birnbaum-Saunders distribution

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

• The Birnbaum-Saunders autoregressive conditional duration model
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• On Fréchet autoregressive conditional duration models
• A family of autoregressive conditional duration models

Cites work

• A family of autoregressive conditional duration models
• A family of autoregressive conditional duration models applied to financial data
• A New Fatigue Life Model Based on the Family of Skew-Elliptical Distributions
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• A Smooth Transition Autoregressive Conditional Duration Model
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Bathtub and Related Failure Rate Characterizations
• Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
• Birnbaum‐Saunders distribution: A review of models, analysis, and applications
• Estimation of extreme percentiles in Birnbaum-Saunders distributions
• Generalized autoregressive conditional heteroscedasticity
• How to Identify a Bathtub Hazard Rate
• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• scientific article; zbMATH DE number 1520614 (Why is no real title available?)
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• On Fréchet autoregressive conditional duration models
• Quantile Autoregression
• Regime-switching Pareto distributions for ACD models
• Statistical Applications of the Multivariate Skew Normal Distribution
• Statistical Models
• The Birnbaum-Saunders autoregressive conditional duration model

Cited in

(6)

• On the quantile process based on the autoregressive residuals.
• Self-weighted quantile estimation of autoregressive conditional duration model
• scientific article; zbMATH DE number 5984107 (Why is no real title available?)
• Averaged Autoregression Quantiles in Autoregressive Model
• scientific article; zbMATH DE number 7071613 (Why is no real title available?)
• Parametric quantile autoregressive moving average models with exogenous terms

Describes a project that uses

Uses Software

• sn

This page was built for publication: On a quantile autoregressive conditional duration model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2079346)