Evaluating financial time series models for irregularly spaced data: a spectral density approach
DOI10.1016/J.COR.2006.02.017zbMATH Open1139.91027OpenAlexW2091444911MaRDI QIDQ2384591FDOQ2384591
Publication date: 10 October 2007
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2006.02.017
time seriesspectral densityautoregressive conditional duration modelmodel adequacyone-sided testingduration clustering
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical methods; economic indices and measures (91B82)
Cites Work
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Cited In (6)
- Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
- Evaluating multiplicative error models: a residual-based approach
- Diagnostic checking of the vector multiplicative error model
- On diagnostic checking of the autoregressive conditional intensity model
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
- On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators
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