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Search: subject:"Autoregressive Conditional Duration"
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Duration analysis
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Autoregressive conditional duration
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autoregressive conditional duration
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Autoregressive Conditional Duration
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Autoregressive conditional duration model
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Blasques, Francisco
9
Koopman, Siem Jan
6
Lucas, André
6
Tse, Yiu Kuen
6
Herrera, Rodrigo
5
Dong, Yingjie
4
Grammig, Joachim
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Lanne, Markku
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Tomanová, Petra
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Rahbek, Anders
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Studies in Nonlinear Dynamics & Econometrics
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High frequency financial econometrics : recent developments ; with 64 tables
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ECONIS (ZBW)
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A comment on: "
Autoregressive
conditional
duration
: a new model for irregularly spaced transaction data"
Cavaliere, Giuseppe
;
Mikosch, Thomas
;
Rahbek, Anders
; …
- In:
Econometrica : journal of the Econometric Society, an …
93
(
2025
)
2
,
pp. 719-729
Persistent link: https://www.econbiz.de/10015401165
Saved in:
2
Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe
;
Mikosch, Thomas
;
Rahbek, Anders
; …
- In:
Journal of econometrics
238
(
2024
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
Saved in:
3
Autoregressive conditional durations : an application to the Surinamese dollar versus the US dollar exchange rate
Ooft, Gavin
;
Franses, Philip Hans
;
Bhaghoe, Sailesh
- In:
Review of development economics : an essential resource …
27
(
2023
)
4
,
pp. 2618-2637
Persistent link: https://www.econbiz.de/10014427710
Saved in:
4
Zero-inflated
autoregressive
conditional
duration
model for discrete trade durations with excessive zeros
Blasques, Francisco
;
Holý, Vladimír
;
Tomanová, Petra
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
5
,
pp. 673-702
Persistent link: https://www.econbiz.de/10015437638
Saved in:
5
Testing for a serial correlation in VaR failures through the exponential
autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in Transition New Series
22
(
2021
)
1
,
pp. 145-162
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012600284
Saved in:
6
Testing for a serial correlation in VaR failures through the exponential
autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in transition : an international journal of …
22
(
2021
)
1
,
pp. 145-162
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012487146
Saved in:
7
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
Saved in:
8
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
9
Uso del modelo autorregresivo de duración condicional para predecir la caída del dólar en el mercado cambiario colombiano
Gallego Escudero, Héctor Fabio
;
Ríos Saavedra, Omar …
- In:
Revista de economía del Rosario
23
(
2020
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012426679
Saved in:
10
Zero-Inflated
Autoregressive
Conditional
Duration
Model for Discrete Trade Durations with Excessive Zeros
Blasques, Francisco
;
Hol´y, Vladimír
;
Tomanová, Petra
-
2019
In finance, durations between successive transactions are usually modelled by the
autoregressive
conditional
duration
…
Persistent link: https://www.econbiz.de/10012114757
Saved in:
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