A (semi-)parametric functional coefficient autoregressive conditional duration model
Year of publication: |
2006
|
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Authors: | Fernandes, Marcelo ; Medeiros, Marcelo C. ; Veiga, Alvaro |
Publisher: |
Rio de Janeiro : Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia |
Subject: | explosive regimes | quasi-maximum likelihood | sieve estimation | smooth transition | stationarity. |
Series: | Texto para discussão ; 535 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 523034393 [GVK] hdl:10419/176018 [Handle] RePEc:rio:texdis:535 [RePEc] |
Classification: | C22 - Time-Series Models ; C41 - Duration Analysis |
Source: |
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