The Birnbaum-Saunders autoregressive conditional duration model
From MaRDI portal
Publication:991167
DOI10.1016/j.matcom.2010.01.011zbMath1195.62136MaRDI QIDQ991167
Publication date: 2 September 2010
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2010.01.011
conditional quantile estimation; dependent point process; duration modeling; financial transaction data
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62F10: Point estimation
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Uses Software
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