On the residual autocorrelation of the autoregressive conditional duration model
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Publication:1927300
DOI10.1016/S0165-1765(02)00303-8zbMath1254.91677MaRDI QIDQ1927300
Publication date: 1 January 2013
Published in: Economics Letters (Search for Journal in Brave)
asymptotic distribution; goodness-of-fit test; residual autocorrelations; autoregressive conditional duration models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
91B84: Economic time series analysis
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