Pages that link to "Item:Q5944505"

The following pages link to A nonlinear autoregressive conditional duration model with applications to financial transaction data (Q5944505):

Displaying 50 items.

• Nonparametric specification tests for conditional duration models (Q262795) (← links)
• A family of autoregressive conditional duration models (Q269391) (← links)
• On Fréchet autoregressive conditional duration models (Q282897) (← links)
• Parameter change test for autoregressive conditional duration models (Q287530) (← links)
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272) (← links)
• A semiparametric conditional duration model (Q485700) (← links)
• Fitting a two phase threshold multiplicative error model (Q515143) (← 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)
• Bayesian estimation and inference for log-ACD models (Q736572) (← 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)
• Entropy test and residual empirical process for autoregressive conditional duration models (Q1663317) (← links)
• Statistical inference for the doubly stochastic self-exciting process (Q1750090) (← links)
• Nonlinear least squares estimation of Log-ACD models (Q1782029) (← links)
• Diagnostic checking of Markov multiplicative error models (Q1787720) (← links)
• Component ACD model and its application in studying the price-related feedback effect in investor trading behaviors in Chinese stock market (Q1794298) (← links)
• Generalized Birnbaum-Saunders kernel density estimators and an analysis of financial data (Q1800055) (← links)
• A trend-switching financial time series model with level-duration dependence (Q1954678) (← links)
• On a quantile autoregressive conditional duration model (Q2079346) (← links)
• Frequency and severity estimation of cyber attacks using spatial clustering analysis (Q2172027) (← links)
• Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics (Q2322052) (← links)
• Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease (Q2343727) (← links)
• Evaluating financial time series models for irregularly spaced data: a spectral density approach (Q2384591) (← links)
• A two-step problem of hedging a European call option under a random duration of transactions (Q2396374) (← 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)
• Density forecast of financial returns using decomposition and maximum entropy (Q2694014) (← 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)
• Extension and verification of the asymmetric autoregressive conditional duration models (Q3174924) (← 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)
• Price impact and bursts in liquidity provision (Q4554485) (← links)
• Modelling Asset Prices for Algorithmic and High-Frequency Trading (Q4585000) (← links)
• Structural break detection in financial durations (Q4627118) (← links)
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE (Q4675834) (← links)