Bounds for the probability distribution function of the linear ACD process

DOI10.1016/J.SPL.2004.02.008MaRDI QIDQ1770076zbMATH OpenOpenAlexFDO

Authors Marcelo Fernandes

Publication date 7 April 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10438/898

zbMATH Keywords

Autoregressive conditional duration modelDistribution lower boundFinancial duration analysisNonlinear models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• A family of autoregressive conditional duration models
• The Birnbaum-Saunders autoregressive conditional duration model
• A note on some probabilistic properties of AACD models
• On Fréchet autoregressive conditional duration models
• Regime-switching Pareto distributions for ACD models

Cites work

• A family of autoregressive conditional duration models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Bathtub and Related Failure Rate Characterizations
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• On the distributional properties of GARCH processes

Cited in

(1)

• The sample ACF of a simple bilinear process

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