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

DOI10.1016/j.cor.2006.02.017zbMath1139.91027OpenAlexW2091444911MaRDI QIDQ2384591

Maria Pacurar, Pierre Duchesne

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

zbMATH Keywords

time seriesspectral densityautoregressive conditional duration modelmodel adequacyone-sided testingduration clustering

Mathematics Subject Classification ID

Related Items (6)

Evaluating multiplicative error models: a residual-based approach ⋮ Diagnostic checking of the vector multiplicative error model ⋮ Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data ⋮ On diagnostic checking of the autoregressive conditional intensity model ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators ⋮ Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes

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