Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

DOI10.2307/2999632zbMath1055.62571OpenAlexW2050238052WikidataQ56474513 ScholiaQ56474513MaRDI QIDQ4530924

Jeffrey R. Russell, Robert F. Engle

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8025c69bcea22b062cd8fc589ce41f44e4c33fad

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic growth models (91B62)

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