scientific article; zbMATH DE number 5002328

MaRDI QIDQ3368263zbMATHFDO

Authors Robert E. McCulloch, Ruey S. Tsay

Publication date 27 January 2006

zbMATH Keywords

generalized gamma distributionautoregressive conditional durational modeldiurnal pattern

Mathematics Subject Classification ID

Economic growth models (91B62)

Recommendations

• Nonparametric estimation of structural models for high-frequency currency market data
• Nonlinear models for strongly dependent processes with financial applications
• Dependence structures for multivariate high-frequency data in finance
• Nonparametric Modeling in Financial Time Series
• Modelling financial time series with threshold nonlinearity in returns and trading volume
• scientific article; zbMATH DE number 1487895

Cited in

(2)

• Improving model performance with the integrated wavelet denoising method
• The dynamics of ex-ante weighted spread: an empirical analysis

Describes a project that uses

Uses Software

• FinTS

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3368263)