A goodness-of-fit test for a class of autoregressive conditional duration models
Year of publication: |
2016
|
---|---|
Authors: | Perera, Indeewara ; Hidalgo, Javier ; Silvapulle, Mervyn J. |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 5/7, p. 1111-1141
|
Subject: | Autoregressive conditional duration model | Bootstrap | Cramér-von Mises statistic | Goodness-of-fit test | Kolmogorov-Smirnov statistic | Börsenkurs | Share price | Theorie | Theory | Statistischer Test | Statistical test | Bootstrap-Verfahren | Bootstrap approach | Statistische Bestandsanalyse | Duration analysis | Dauer | Duration | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Autokorrelation | Autocorrelation |
-
An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models
Saart, Patrick, (2012)
-
Małecka, Marta, (2021)
-
Blasques, Francisco, (2019)
- More ...
-
Koul, Hira L., (2012)
-
Specification tests for multiplicative error models
Perera, Indeewara, (2017)
-
Bootstrap based probability forecasting in multiplicative error models
Perera, Indeewara, (2021)
- More ...