CONDITIONAL DURATION MODELS FOR HIGH-FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS

Author:

Bhogal Saranjeet Kaur1ORCID,Thekke Variyam Ramanathan1

Affiliation:

1. Department of Statistics and Centre for Advanced Studies; Savitribai Phule Pune University; Pune India

Funder

Science and Engineering Research Board

Department of Science and Technology, Government of India

Publisher

Wiley

Subject

Economics and Econometrics

Reference84 articles.

1. Modeling foreign exchange rates using copula-based autoregressive conditional duration models;Abegaz;Journal of Applied Statistical Science,2009

2. Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market;Allen;Mathematics and Computers in Simulation,2009

3. Estimating and simulating Weibull models of risk or price durations: An application to ACD models;Allen;The North American Journal of Economics and Finance,2013

4. Inverse Gaussian distribution for modeling conditional durations in finance;Balakrishna;Communications in Statistics-Simulation and Computation,2014

5. Forecasting high-frequency risk measures;Banulescu;Journal of Forecasting,2016

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