Nonstationary autoregressive conditional duration models
Anuj Mishra, Thekke Variyam Ramanathan
| Year of publication: |
Sep 2017
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| Authors: | Mishra, Anuj ; Ramanathan, Thekke Variyam |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 21.2017, 4, p. 1-22
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| Subject: | autoregressive conditional duration models | high frequency data | local polynomial estimation | nonstationarity | time varying ACD model | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Schätztheorie | Estimation theory | Statistische Bestandsanalyse | Duration analysis | Schätzung | Estimation | Dauer | Duration | ARCH-Modell | ARCH model | Autokorrelation | Autocorrelation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2015-0057 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011743716