Goodness-of-fit tests in conditional duration models
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- scientific article; zbMATH DE number 5233407
Cites work
- scientific article; zbMATH DE number 3962966 (Why is no real title available?)
- scientific article; zbMATH DE number 3976162 (Why is no real title available?)
- A class of consistent tests for exponentiality based on the empirical Laplace transform
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- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- Analysis of financial time series
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- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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- GOODNESS-OF-FIT TESTS BASED ON A NEW CHARACTERIZATION OF THE EXPONENTIAL DISTRIBUTION
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- Non‐monotonic hazard functions and the autoregressive conditional duration model
- On asymptotic efficiency of exponentiality tests based on Rossberg's characterization
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- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
Cited in
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- Evaluating multiplicative error models: a residual-based approach
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- Tests for heteroskedasticity in transformation models
- New goodness-of-fit diagnostics for conditional discrete response models
- Specification diagnostics for duration models. A martingale approach
- New characterization-based exponentiality tests for randomly censored data
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