Some statistical models for durations and an application to News Corporation stock prices

DOI10.1016/J.MATCOM.2005.02.005zbMath1115.91359OpenAlexW2091761665MaRDI QIDQ2486203

Wenling Yang, M. Shelton Peiris, David E. Allen

Publication date: 5 August 2005

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2005.02.005

zbMATH Keywords

Hazard functionStochastic processConditional expectationIntensityAutoregressive

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Time series: theory and methods.
• Statistical methods in finance
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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