Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
DOI10.1080/03610918.2011.586481zbMATH Open1296.62202OpenAlexW2053168282MaRDI QIDQ4906413FDOQ4906413
Authors: Min-Hsien Chiang, Limin Wang 
Publication date: 11 February 2013
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2011.586481
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Cites Work
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- Robust estimates for GARCH models
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Outliers and GARCH models in financial data
Cited In (4)
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