Birnbaum‐Saunders autoregressive conditional range model applied to stock index data-Reference-Cited by-同舟云学术

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Birnbaum‐Saunders autoregressive conditional range model applied to stock index data

Published:2020-02-03 Issue:4 Volume:36 Page:570-585
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Leão Jeremias¹^ORCID,Lopes Erico¹^ORCID,Leão Themis¹^ORCID,Nascimento Diego C.²^ORCID

Affiliation:

1. Department of StatisticsUniversidade Federal do Amazonas Manaus Brazil

2. Institute of Mathematical Science and ComputingUniversity of Sao Paulo Sao Carlos Brazil

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2511

Reference40 articles.

1. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

2. GARCH processes — some exact results, some difficulties and a suggested remedy

3. Range-Based Estimation of Stochastic Volatility Models

4. On the Estimation of Security Price Volatilities from Historical Data

Cited by 1 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. Estimation and diagnostic tools in reparameterized slashed Rayleigh regression model. An application to chemical data;Chemometrics and Intelligent Laboratory Systems;2020-12

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