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Measures of serial extremal de...
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Dauer
Zeitreihenanalyse
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Estimation theory
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Schätztheorie
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long range dependence
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Autoregressive conditional duration (ACD)
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Cavaliere, Giuseppe
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Mikosch, Thomas
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Rahbek, Anders
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Vilandt, Frederik
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Engle, Robert F.
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Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of econometrics
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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
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