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
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
Cited by
17 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