A nonlinear autoregressive conditional duration model with applications to financial transaction data

DOI10.1016/S0304-4076(01)00063-XzbMath1108.62336MaRDI QIDQ5944505

Jeffrey R. Russell, Ruey S. Tsay, Michael Yuanjie Zhang

Publication date: 10 October 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Nonlinear time seriesAutoregressive conditional durationDuration modelsMarket microstructureStructural break

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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