On Fréchet autoregressive conditional duration models

DOI10.1016/J.JSPI.2016.02.009zbMATH Open1343.62076OpenAlexW2301843551MaRDI QIDQ282897FDOQ282897

Guodong Li, Yang Li, Yao Zheng

Publication date: 12 May 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/231154

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zbMATH Keywords

heavy tailsextreme valuesACD modelsFréchet distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (8)

• Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
• Bootstrap prediction intervals for autoregressive conditional duration models
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Bounds for the probability distribution function of the linear ACD process
• On a quantile autoregressive conditional duration model
• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
• Review of statistical approaches for modeling high-frequency trading data
• Nonstationary autoregressive conditional duration models

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