Periodic autoregressive conditional duration

DOI10.1111/JTSA.12588MaRDI QIDQ5030949zbMATH OpenOpenAlexFDO

Authors Abdelhakim Aknouche, B. Almohaimeed, Stefanos Dimitrakopoulos

Publication date 18 February 2022

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/101696/1/MPRA_paper_101696.pdf

zbMATH Keywords

autoregressive conditional durationexponential QMLEmultiplicative error modelsperiodic time-varying modelspositive time seriestwo-stage gamma QMLE

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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Cites work

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Cited in

(10)

• Periodic autoregressive stochastic volatility
• Time-varying autoregressive conditional duration model
• A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
• Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
• Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
• On an independent-switching periodic autoregressive conditional duration
• Seasonal ARIMA models with a random period
• Parsimonious modeling of periodic time series using Fourier and wavelet techniques
• Noising the GARCH volatility: a random coefficient GARCH model
• A beta prime ARMA model for positive time series

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