Pages that link to "Item:Q299272"

The following pages link to Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272):

Displaying 22 items.

• Fitting a two phase threshold multiplicative error model (Q515143) (← links)
• Bayesian estimation and inference for log-ACD models (Q736572) (← links)
• The Birnbaum-Saunders autoregressive conditional duration model (Q991167) (← links)
• Intraday trade and quote dynamics: A Cox regression analysis (Q1013159) (← links)
• On the interday homogeneity in the intraday rate of trading (Q1013160) (← links)
• Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (Q1025337) (← links)
• Modeling financial durations using penalized estimating functions (Q1615270) (← links)
• A family of autoregressive conditional duration models applied to financial data (Q1623666) (← links)
• Nonlinear least squares estimation of Log-ACD models (Q1782029) (← links)
• Liquidity and volatility in the U.S. Treasury market (Q2190220) (← links)
• Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
• Generalized duration models and optimal estimation using estimating functions (Q2255169) (← links)
• The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics (Q2440157) (← links)
• GARCH models without positivity constraints: exponential or log GARCH? (Q2448408) (← links)
• A generalized least squares estimation method for the autoregressive conditional duration model (Q2633419) (← links)
• The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data (Q4555122) (← links)
• Testing weak exogeneity in multiplicative error models (Q4555167) (← links)
• Additive Outlier Detection and Estimation for the Logarithmic Autoregressive Conditional Duration Model (Q4906413) (← links)
• Forecasting trade durations via ACD models with mixture distributions (Q5120735) (← links)
• Intensity‐based estimation of extreme loss event probability and value at risk (Q5414534) (← links)
• Semiparametric Autoregressive Conditional Duration Model: Theory and Practice (Q5863565) (← links)
• Tail behavior of ACD models and consequences for likelihood-based estimation (Q6193064) (← links)