Bhatti, Chad R. - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 10, pp. 2062-2078
In this paper we introduce the Birnbaum–Saunders autoregressive conditional duration (BS-ACD) model as an alternative to the existing ACD models which allow a unimodal hazard function. The BS-ACD model is the first ACD model to integrate the concept of conditional quantile estimation into an...
