A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek, Frederik Vilandt
| Alternative title: | Autoregressive conditional duration |
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| Year of publication: |
2025
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| Authors: | Cavaliere, Giuseppe ; Mikosch, Thomas ; Rahbek, Anders ; Vilandt, Frederik |
| Other Persons: | Engle, Robert F. (contributor) |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - Chichester : Wiley-Blackwell, ISSN 1468-0262, ZDB-ID 1477253-X. - Vol. 93.2025, 2, p. 719-729
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| Subject: | Autoregressive conditional duration (ACD) | quasi maximum likelihood | random sample size | renewal theory | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Mikroökonometrie | Microeconometrics | Schätztheorie | Estimation theory | Statistische Bestandsanalyse | Duration analysis | Dauer | Duration | Autokorrelation | Autocorrelation | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3982/ECTA21896 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015401165