A Smooth Transition Autoregressive Conditional Duration Model

DOI10.2202/1558-3708.1313MaRDI QIDQ5452767zbMATH OpenOpenAlexFDO

Authors Min-Hsien Chiang

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1313

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cited in

(8)

• Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
• Intraday trade and quote dynamics: A Cox regression analysis
• On the interday homogeneity in the intraday rate of trading
• Bayesian inference for the log-symmetric autoregressive conditional duration model
• Using Smooth Transition Regressions to Model Risk Regimes
• The Birnbaum-Saunders autoregressive conditional duration model
• On a quantile autoregressive conditional duration model
• Nonstationary autoregressive conditional duration models

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