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What is fractional integration?
Parke, William R. - In: The review of economics and statistics 81 (1999) 4, pp. 632-638
Persistent link: https://www.econbiz.de/10001437380
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A generalized gamma autoregressive conditional duration model
Lunde, Asger - In: Econometric modelling of durations between economic events, (pp. 31-68). 1999
Persistent link: https://www.econbiz.de/10001442379
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Non-parametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2000
Persistent link: https://www.econbiz.de/10001480448
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
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The role of duration and trades in the information assimilation process of the US treasury market
Chen, Peter Huaiyu; Man, Kasing; Wang, Junbo; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 7 (2019), pp. 155-200
Persistent link: https://www.econbiz.de/10012582266
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Revisiting the duration dependence in the US stock market cycles
Zakamulin, Valeriy - In: Applied economics 55 (2023) 4, pp. 357-368
Persistent link: https://www.econbiz.de/10013494428
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Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation
Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62
Persistent link: https://www.econbiz.de/10010196415
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The effects of interest rates, stock prices and trading day to the duration of daily exchange rate pattern : using survival analysis
Lee, Seo-Hyeong; Lee, Ki-dong; Kim, Yoon-chul - In: International journal of monetary economics and finance 10 (2017) 3/4, pp. 404-425
Persistent link: https://www.econbiz.de/10011863270
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001955246
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An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models
Saart, Patrick; Gao, Jiti - 2012
Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration … the financial duration in question.This paper illustrates that the testing procedure developed is applicable to various …
Persistent link: https://www.econbiz.de/10014166683