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

DOI10.1016/J.COR.2006.02.017MaRDI QIDQ2384591zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

autoregressive conditional duration modelduration clusteringmodel adequacyone-sided testingspectral densitytime series

Mathematics Subject Classification ID

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

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Cites work

• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Consistent Testing for Serial Correlation of Unknown Form
• Diagnostic checking for the adequacy of nonlinear time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Econometric modelling of stock market intraday activity.
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• Handbook of econometrics. Vol. 4
• scientific article; zbMATH DE number 1724301 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• Nonparametric specification tests for conditional duration models
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• On a measure of lack of fit in time series models
• On the residual autocorrelation of the autoregressive conditional duration model
• One‐sided testing for conditional heteroskedasticity in time series models
• The Econometrics of Ultra-high-frequency Data
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

Cited in

(6)

• 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
• Evaluating multiplicative error models: a residual-based approach

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