A nonlinear autoregressive conditional duration model with applications to financial transaction data
From MaRDI portal
Publication:5944505
DOI10.1016/S0304-4076(01)00063-XzbMath1108.62336MaRDI QIDQ5944505
Michael Yuanjie Zhang, Jeffrey R. Russell, Ruey S. Tsay
Publication date: 10 October 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Nonlinear time series; Autoregressive conditional duration; Duration models; Market microstructure; Structural break
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B62: Economic growth models
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