A (semi-)parametric functional coefficient autoregressive conditional duration model
Year of publication: |
2006-12
|
---|---|
Authors: | Fernandes, Marcelo ; Medeiros, Marcelo Cunha ; Veiga, Alvaro |
Institutions: | Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro |
Subject: | explosive regimes | quasi-maximum likelihood | sieve estimation | smooth transition | stationarity |
-
A (semi-)parametric functional coefficient autoregressive conditional duration model
Fernandes, Marcelo, (2006)
-
A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo, (2016)
-
A family of autoregressive conditional duration models
FERNANDES, Marcelo, (2001)
- More ...
-
Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model
Medeiros, Marcelo Cunha, (2004)
-
ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS
Mendes, Eduardo, (2007)
-
Modeling and predicting the CBOE market volatility index
Fernandes, Marcelo, (2007)
- More ...