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Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data

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References

1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
2000Non‐monotonic hazard functions and the autoregressive conditional duration model230 cited
2003A comparison of financial duration models via density forecasts212 cited
2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE173 cited
2009Acceptance Sampling Plans from Truncated Life Tests Based on the Birnbaum–Saunders Distribution for Percentiles136 cited
2005Evaluating Models of Autoregressive Conditional Duration116 cited
2010The Birnbaum–Saunders autoregressive conditional duration model82 cited
2015A criterion for environmental assessment using Birnbaum–Saunders attribute control charts69 cited
2014A family of autoregressive conditional duration models applied to financial data57 cited

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2022Modeling Inventory Cost Savings and Supply Chain Success Factors: A Hybrid Robust Compromise Multi-Criteria Approach19 cited
2022Bootstrap control charts for quantiles based on log‐symmetric distributions with applications to the monitoring of reliability data12 cited

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