Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
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Publication:2010814
DOI10.1007/S00362-017-0888-6zbMATH Open1432.62315OpenAlexW2593352328WikidataQ56330939 ScholiaQ56330939MaRDI QIDQ2010814FDOQ2010814
Authors: Helton Saulo, Jeremias Leão, Víctor Leiva, Robert G. Aykroyd 
Publication date: 28 November 2019
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-017-0888-6
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Cites Work
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Cited In (24)
- On a new mixture-based regression model: simulation and application to data with high censoring
- Birnbaum-Saunders autoregressive conditional range model applied to stock index data
- Birnbaum-Saunders quantile regression and its diagnostics with application to economic data
- A new look at the Birnbaum-Saunders regression model
- Forecasting extreme negative returns in gold and silver: a discrete-duration approach to POT models
- A class of asymmetric regression models for left-censored data
- A bivariate fatigue-life regression model and its application to fracture of metallic tools
- Asymmetric autoregressive models: statistical aspects and a financial application under COVID-19 pandemic
- On a new type of Birnbaum-Saunders models and its inference and application to fatigue data
- Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
- Modeling heavy-tailed bounded data by the trapezoidal beta distribution with applications
- Robust multivariate control charts based on Birnbaum–Saunders distributions
- The r‐hypergeometric distribution: Characterization, mathematical methods, simulations, and applications in sciences and engineering
- The Birnbaum-Saunders autoregressive conditional duration model
- On a quantile autoregressive conditional duration model
- Bimodal Birnbaum-Saunders generalized autoregressive score model
- A family of autoregressive conditional duration models applied to financial data
- A bivariate integer-valued long-memory model for high-frequency financial count data
- On mean-based bivariate Birnbaum-Saunders distributions: Properties, inference and application
- On a bimodal Birnbaum-Saunders distribution with applications to lifetime data
- Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” by N. Balakrishnan and Debasis Kundu
- Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications”
- Generalized Tobit models: diagnostics and application in econometrics
- [Invited tutorial] Birnbaum–Saunders regression models: a comparative evaluation of three approaches
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