Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
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Publication:2010814
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Cites work
- scientific article; zbMATH DE number 720681 (Why is no real title available?)
- scientific article; zbMATH DE number 3395249 (Why is no real title available?)
- A Smooth Transition Autoregressive Conditional Duration Model
- A family of autoregressive conditional duration models applied to financial data
- A methodology for stochastic inventory models based on a zero-adjusted Birnbaum-Saunders distribution
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- A note on influence diagnostics in AR(1) time series models
- Acceptance sampling plans from truncated life tests based on the Birnbaum-Saunders distribution for percentiles
- Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
- Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Birnbaum-Saunders frailty regression models: Diagnostics and application to medical data
- Birnbaum–Saunders statistical modelling: a new approach
- Diagnostics in multivariate generalized Birnbaum-Saunders regression models
- Epsilon Birnbaum-Saunders distribution family: properties and inference
- Evaluating financial time series models for irregularly spaced data: a spectral density approach
- Exploring the potential use of the Birnbaum-Saunders distribution in inventory management
- How to Identify a Bathtub Hazard Rate
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- Local Influence in Linear Mixed Models
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
- On local influence for elliptical linear models
- On the hazard function of Birnbaum-Saunders distribution and associated inference
- Reparameterized Birnbaum-Saunders regression models with varying precision
- The Birnbaum-Saunders autoregressive conditional duration model
Cited in
(24)- A class of asymmetric regression models for left-censored data
- A bivariate fatigue-life regression model and its application to fracture of metallic tools
- On a new type of Birnbaum-Saunders models and its inference and application to fatigue 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”
- A family of autoregressive conditional duration models applied to financial data
- The r‐hypergeometric distribution: Characterization, mathematical methods, simulations, and applications in sciences and engineering
- Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
- On mean-based bivariate Birnbaum-Saunders distributions: Properties, inference and application
- On a bimodal Birnbaum-Saunders distribution with applications to lifetime 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
- Generalized Tobit models: diagnostics and application in econometrics
- A bivariate integer-valued long-memory model for high-frequency financial count data
- Birnbaum-Saunders autoregressive conditional range model applied to stock index data
- Bimodal Birnbaum-Saunders generalized autoregressive score model
- [Invited tutorial] Birnbaum–Saunders regression models: a comparative evaluation of three approaches
- On a new mixture-based regression model: simulation and application to data with high censoring
- Asymmetric autoregressive models: statistical aspects and a financial application under COVID-19 pandemic
- Modeling heavy-tailed bounded data by the trapezoidal beta distribution with applications
- The Birnbaum-Saunders autoregressive conditional duration model
- On a quantile autoregressive conditional duration model
- Robust multivariate control charts based on Birnbaum–Saunders distributions
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