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ArticleA family of autoregressive conditional duration models applied to financial data

Víctor Leiva2014

Article2014

A family of autoregressive conditional duration models applied to financial data

Víctor Leiva · Helton Saulo · Jeremias Leão · Carolina Marchant

57 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Distribution Estimation and Applications

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References

2006Analysis of Financial Time Series 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 1998Evaluating Density Forecasts with Applications to Financial Risk Management n.d.The econometrics of ultra-high frequency data /2007Acceptance Sampling Plans from Truncated Life Tests Based on the Generalized Birnbaum–Saunders Distribution 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 2003A comparison of financial duration models via density forecasts

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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 2015Monitoring Environmental Risk by a Methodology Based on Control Charts

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2008Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock marketarticle · 8 shared references 2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATUREarticle · 7 shared references 2004Nonparametric specification tests for conditional duration modelsarticle · 7 shared references 2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literaturepreprint · 7 shared references 2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Modelspreprint · 7 shared references 2001Modelling Intraday Trading Activity Using Box-Cox Acd Modelspreprint · 7 shared references

Details

Year2014

Typearticle

Published2014-06-02

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations57

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2014.05.016

openalex_workW2020561376

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