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ArticleThe Birnbaum–Saunders autoregressive conditional duration model

Chad R. Bhatti2010

Article2010

The Birnbaum–Saunders autoregressive conditional duration model

82 citations·0/0 files stored·Mathematics and Computers in Simulation

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2006Analysis of Financial Time Series 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2001A nonlinear autoregressive conditional duration model with applications to financial transaction data 2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks 2000Non‐monotonic hazard functions and the autoregressive conditional duration model 2002Evaluating GARCH models 2003A comparison of financial duration models via density forecasts

Cited by

2014A family of autoregressive conditional duration models applied to financial data 2017Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data 2015Exploring the Potential Use of the Birnbaum-Saunders Distribution in Inventory Management 2018CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS 2015Optimization of Contribution Margins in Food Services by Modeling Independent Component Demand

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2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literaturepreprint · 11 shared references 2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Modelspreprint · 10 shared references 2010Analysis of High-Frequency Datachapter · 9 shared references 2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATUREarticle · 8 shared references 2008Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Modelsarticle · 8 shared references 2006Econometric analysis of financial trade processes by discrete mixture duration modelsarticle · 8 shared references

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Year2010

Typearticle

Published2010-04-11

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations82

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.matcom.2010.01.011

openalex_workW1999765709

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