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The Birnbaum–Saunders autoregressive conditional duration model
15 references·6 citing·34 second hop
The Birnbaum–Saunders autoregressive conditional duration model (2010)The Birnbaum–Saunders autoregressive cond…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Evaluating Models of Autoregressive Conditional Duration (2005)Evaluating Models of Autoregr…A family of autoregressive conditional duration models (2004)A family of autoregressive co…Trades and Quotes: A Bivariate Point Process (2003)Trades and Quotes: A Bivariat…Asymmetric ACD models: Introducing price information in ACD models (2003)Asymmetric ACD models: Introd…A comparison of financial duration models via density forecasts (2003)A comparison of financial dur…Evaluating GARCH models (2002)Evaluating GARCH modelsA nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)A nonlinear autoregressive co…The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks (2000)The Logarithmic ACD Model: An…The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks (2000)The logarithmic ACD model : a…Non‐monotonic hazard functions and the autoregressive conditional duration model (2000)Non‐monotonic hazard function…Persistence in Intertrade Durations (1999)Persistence in Intertrade Dur…A Generalized Gamma Autoregressive Conditional Duration Model (1999)A Generalized Gamma Autoregre…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS (2018)CONDITIONAL DURATION MODELS F…Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data (2017)Birnbaum–Saunders autoregress…Optimization of Contribution Margins in Food Services by Modeling Independent Component Demand (2015)Optimization of Contribution …Monitoring Environmental Risk by a Methodology Based on Control Charts (2015)Monitoring Environmental Risk…Exploring the Potential Use of the Birnbaum-Saunders Distribution in Inventory Management (2015)Exploring the Potential Use o…A family of autoregressive conditional duration models applied to financial data (2014)A family of autoregressive co…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)A long memory property of stock market returns and a new model (1993)Impulse response analysis in nonlinear multivariate models (1996)Memory and infrequent breaks (2001)Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals (2004)Stationarity and Persistence in the GARCH(1,1) Model (1990)All in the family Nesting symmetric and asymmetric GARCH models (1995)AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE (2008)ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (2008)Modelling Financial High Frequency Data Using Point Processes (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (2012)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)A test for independence based on the correlation dimension (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Comparing density forecast models (2007)A Lagrange multiplier test for causality in variance (2006)A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries (2008)Practical Issues in the Analysis of Univariate GARCH Models (2009)The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2003)The application of continuous-time random walks in finance and economics (2005)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2001A nonlinear autoregressive conditional duration model with applications to financial transaction data319 cited
  • 2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks266 cited
  • 2000Non‐monotonic hazard functions and the autoregressive conditional duration model230 cited
  • 2002Evaluating GARCH models215 cited
  • 2003A comparison of financial duration models via density forecasts212 cited
  • 2004A family of autoregressive conditional duration models188 cited
  • 1999Persistence in Intertrade Durations127 cited
  • 2003Asymmetric ACD models: Introducing price information in ACD models125 cited
  • 2005Evaluating Models of Autoregressive Conditional Duration116 cited
  • 2003Trades and Quotes: A Bivariate Point Process116 cited
  • 1999A Generalized Gamma Autoregressive Conditional Duration Model103 cited
  • 2000The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks

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Cited by

  • 2014A family of autoregressive conditional duration models applied to financial data57 cited
  • 2017Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data56 cited
  • 2015Exploring the Potential Use of the Birnbaum-Saunders Distribution in Inventory Management35 cited
  • 2018CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS28 cited
  • 2015Optimization of Contribution Margins in Food Services by Modeling Independent Component Demand27 cited
  • 2015Monitoring Environmental Risk by a Methodology Based on Control Charts13 cited