Evaluating financial time series models for irregularly spaced data: a spectral density approach

DOI10.1016/J.COR.2006.02.017zbMATH Open1139.91027OpenAlexW2091444911MaRDI QIDQ2384591FDOQ2384591

Authors: P. Duchesne, Maria Pacurar 

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

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zbMATH Keywords

time seriesspectral densityautoregressive conditional duration modelmodel adequacyone-sided testingduration clustering

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical methods; economic indices and measures (91B82)

Cites Work

• Title not available (Why is that?)
• On a measure of lack of fit in time series models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Consistent Testing for Serial Correlation of Unknown Form
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• The Econometrics of Ultra-high-frequency Data
• Econometric modelling of stock market intraday activity.
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Nonparametric specification tests for conditional duration models
• Title not available (Why is that?)
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
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• Diagnostic checking for the adequacy of nonlinear time series models
• Handbook of econometrics. Vol. 4
• On the residual autocorrelation of the autoregressive conditional duration model
• One‐sided testing for conditional heteroskedasticity in time series models

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 autoregressive conditional duration models with wavelet-based spectral density estimators
• On diagnostic checking of the autoregressive conditional intensity model
• Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes

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