Yet another ACD model : the autoregressive conditional directional duration (ACDD) model
Nagaratnam Jeyasreedharan; David E. Allen; Joey Wenling Yang
| Year of publication: |
2014
|
|---|---|
| Authors: | Jeyasreedharan, Nagaratnam ; Allen, David E. ; Yang, Wenling |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 9.2014, 1, p. 1-20
|
| Subject: | ACD model | ACDD model | directional duration | SEMIFAR | GAS models | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Modellierung | Scientific modelling | Dauer | Duration | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010489145