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

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

Pierre 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

time series; spectral density; autoregressive conditional duration model; model adequacy; one-sided testing; duration clustering

Mathematics Subject Classification ID

62H30: Classification and discrimination; cluster analysis (statistical aspects)

91B82: Statistical methods; economic indices and measures

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