Time-varying autoregressive conditional duration model
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Cites work
- An econometric analysis of nonsynchronous trading
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Bayesian analysis of the stochastic conditional duration model
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Fitting time series models to nonstationary processes
- scientific article; zbMATH DE number 52869 (Why is no real title available?)
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- Inference from iterative simulation using multiple sequences
- Model Checking via Parametric Bootstraps in Time Series Analysis
- On a measure of lack of fit in time series models
- Pseudo Maximum Likelihood Methods: Theory
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
Cited in
(13)- Stochastic volatility duration models
- Nonstationary autoregressive conditional duration models
- scientific article; zbMATH DE number 5736245 (Why is no real title available?)
- Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
- scientific article; zbMATH DE number 5627549 (Why is no real title available?)
- A semiparametric conditional duration model
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- Periodic autoregressive conditional duration
- On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
- Independent Factor Autoregressive Conditional Density Model
- On an independent-switching periodic autoregressive conditional duration
- Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
- Identifying jumps in high-frequency time series by wavelets
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