The Birnbaum–Saunders autoregressive conditional duration model
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modelling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science
Reference46 articles.
1. Finite sample properties of the QMLE for the log-ACD model: Application to Australian stocks;Allen;Journal of Econometrics,2008
2. The logarithmic ACD model: An application to the bid-ask quote process of three NYSE stocks;Bauwens;Annales D’ Économie Et De Statistique,2000
3. Asymmetrics ACD models: Introducing price information in ACD models;Bauwens;Empirical Economics,2003
4. A comparison of financial duration models via density forecasts;Bauwens;International Journal of Forecasting,2004
5. Intraday trade and quote dynamics: A Cox regression analysis;Bhatti;Mathematics and Computers in Simulation,2009
Cited by 63 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros;Studies in Nonlinear Dynamics & Econometrics;2023-11-16
2. Forecasting extreme negative returns in gold and silver: A discrete‐duration approach to POT models;Applied Stochastic Models in Business and Industry;2023-04-03
3. On a quantile autoregressive conditional duration model;Mathematics and Computers in Simulation;2023-01
4. Autoregressive conditional duration models for high frequency financial data: an empirical study on mid cap exchange traded funds;Studies in Economics and Finance;2021-10-20
5. The hazard rate function of the logistic Birnbaum-Saunders distribution: Behavior, associated inference, and application;Journal of King Saud University - Science;2021-10
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3