On Fréchet autoregressive conditional duration models
Author:
Funder
Hong Kong RGC
Publisher
Elsevier BV
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Reference22 articles.
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3. Distribution of the residual autocorrelations in autoregressive integrated moving average time series models;Box;J. Amer. Statist. Assoc.,1970
4. Modelling Extremal Events;Embrechts,1997
5. Autoregression conditional heteroscedasticity with estimates of the variance of u.k. inflation;Engle;Econometrica,1982
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