On Fréchet autoregressive conditional duration models
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Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 3336465 (Why is no real title available?)
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Asymptotic theory for a vector ARMA-GARCH model
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Estimation in conditionally heteroscedatic time series models.
- Generalized autoregressive conditional heteroscedasticity
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
- Least absolute deviations estimation for ARCH and GARCH models
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Maximum likelihood estimators in a statistical model of natural catastrophe claims with trend
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- On a measure of lack of fit in time series models
- Quantile correlations and quantile autoregressive modeling
- Testing for threshold moving average with conditional heteroscedasticity
- The Econometrics of Ultra-high-frequency Data
Cited in
(19)- Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
- Forecasting trade durations via ACD models with mixture distributions
- A family of autoregressive conditional duration models
- Bounds for the probability distribution function of the linear ACD process
- Bootstrap prediction intervals for autoregressive conditional duration models
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Regime-switching Pareto distributions for ACD models
- Bayesian inference for the log-symmetric autoregressive conditional duration model
- Periodic autoregressive conditional duration
- Online structural break detection in financial durations
- Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
- The Birnbaum-Saunders autoregressive conditional duration model
- On a quantile autoregressive conditional duration model
- Discrete autoregressive model of conditional duration
- Extension and verification of the asymmetric autoregressive conditional duration models
- Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
- Nonstationary autoregressive conditional duration models
- Review of statistical approaches for modeling high-frequency trading data
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