Pages that link to "Item:Q5944505"
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The following pages link to A nonlinear autoregressive conditional duration model with applications to financial transaction data (Q5944505):
Displayed 28 items.
- A semiparametric conditional duration model (Q485700) (← links)
- Nonlinear autoregressive conditional duration models for traffic congestion estimation (Q642455) (← links)
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
- Econometric analysis of financial trade processes by discrete mixture duration models (Q959753) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- The Birnbaum-Saunders autoregressive conditional duration model (Q991167) (← links)
- Regime-switching Pareto distributions for ACD models (Q1010563) (← links)
- Intraday trade and quote dynamics: A Cox regression analysis (Q1013159) (← links)
- On the interday homogeneity in the intraday rate of trading (Q1013160) (← links)
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models (Q1023621) (← links)
- Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (Q1025337) (← links)
- A trend-switching financial time series model with level-duration dependence (Q1954678) (← links)
- Evaluating financial time series models for irregularly spaced data: a spectral density approach (Q2384591) (← links)
- Least absolute deviation estimation of autoregressive conditional duration model (Q2431048) (← links)
- Stochastic volatility duration models (Q2439049) (← links)
- The dynamic mixed hitting-time model for multiple transaction prices and times (Q2451776) (← links)
- Analytically calibrated Box--Cox percentile limits for duration and event-time models (Q2485534) (← links)
- A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs (Q2581718) (← links)
- Theory and inference for a Markov switching GARCH model (Q3004023) (← links)
- Assessment of mortgage default risk via Bayesian reliability models (Q3103154) (← links)
- The impact of transaction duration, volume and direction on price dynamics and volatility (Q3169221) (← links)
- Modelling hybrid production systems through the ACD specification: a case study in the fibre-glass industry (Q3533185) (← links)
- Duration time-series models with proportional hazard (Q3608189) (← links)
- Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models (Q3615080) (← links)
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (Q3632419) (← links)
- BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE (Q4675834) (← links)
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes (Q4979076) (← links)
- Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling (Q5407023) (← links)