The Birnbaum-Saunders autoregressive conditional duration model
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Publication:991167
DOI10.1016/J.MATCOM.2010.01.011zbMATH Open1195.62136OpenAlexW1999765709MaRDI QIDQ991167FDOQ991167
Authors: Chad R. Bhatti 
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
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Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (40)
- Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
- Log‐symmetric quantile regression models
- The exponentiated generalized Birnbaum-Saunders distribution
- Authors' rejoinder on ``Birnbaum-Saunders distribution: a review of models, analysis, and applications
- Diagnostics in Birnbaum-Saunders accelerated life models with an application to fatigue data
- Bootstrap prediction intervals for autoregressive conditional duration models
- Bayesian inference for the Birnbaum-Saunders nonlinear regression model
- Bounds for the probability distribution function of the linear ACD process
- Forecasting extreme negative returns in gold and silver: a discrete-duration approach to POT models
- Multivariate Birnbaum–Saunders regression model
- Generalized Birnbaum-Saunders kernel density estimators and an analysis of financial data
- On a new type of Birnbaum-Saunders models and its inference and application to fatigue data
- A methodology for stochastic inventory models based on a zero-adjusted Birnbaum-Saunders distribution
- Testing hypotheses in the Birnbaum-Saunders distribution under type-II censored samples
- Modeling wind energy flux by a Birnbaum-Saunders distribution with an unknown shift parameter
- Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
- Estimation for a family of skew scale-mixture distributions
- Shape and change point analyses of the Birnbaum-Saunders-\(t\) hazard rate and associated estimation
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- A new extension of the Birnbaum-Saunders distribution
- Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
- On a quantile autoregressive conditional duration model
- Bimodal Birnbaum-Saunders generalized autoregressive score model
- Birnbaum‐Saunders distribution: A review of models, analysis, and applications
- A family of autoregressive conditional duration models applied to financial data
- On asymmetric regression models with allowance for temporal dependence
- Unveiling patterns and trends in research on cumulative damage models for statistical and reliability analyses: bibliometric and thematic explorations with data analytics
- Extension and verification of the asymmetric autoregressive conditional duration models
- On mean-based bivariate Birnbaum-Saunders distributions: Properties, inference and application
- On a bimodal Birnbaum-Saunders distribution with applications to lifetime data
- On a new class of skewed Birnbaum-Saunders models
- Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications”
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- A log-Birnbaum-Saunders regression model with asymmetric errors
- Birnbaum–Saunders statistical modelling: a new approach
- Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance
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- Exploring the potential use of the Birnbaum-Saunders distribution in inventory management
- Forecasting trade durations via ACD models with mixture distributions
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