A family of autoregressive conditional duration models applied to financial data
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Publication:1623666
DOI10.1016/j.csda.2014.05.016zbMath1506.62105OpenAlexW2020561376MaRDI QIDQ1623666
Jeremias Leão, Carolina Marchant, Helton Saulo, Víctor Leiva
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2014.05.016
EM algorithmMonte Carlo simulationmaximum likelihood estimatorhigh-frequency dataBirnbaum-Saunders distribution
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Reliability and life testing (62N05)
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