Autoregressive conditional duration models: an application in the Brazilian stock market

Applied Mathematical Sciences ◽

10.12988/ams.2016.510672 ◽

2016 ◽

Vol 10 ◽

pp. 1573-1594

Author(s):

Mauri Aparecido de Oliveira ◽

Ricardo Luiz Pereira Bueno ◽

Lais Sayuri Kotsubo ◽

Daniel Reed Bergmann

Keyword(s):

Stock Market ◽

Duration Models ◽

Autoregressive Conditional Duration

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An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models

SSRN Electronic Journal ◽

10.2139/ssrn.2130454 ◽

2012 ◽

Cited By ~ 2

Author(s):

Patrick W. Saart ◽

Jiti Gao

Keyword(s):

Duration Models ◽

Specification Test ◽

Autoregressive Conditional Duration

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Estimation and forecasting with logarithmic autoregressive conditional duration models: A comparative study with an application

Expert Systems with Applications ◽

10.1016/j.eswa.2013.11.024 ◽

2014 ◽

Vol 41 (7) ◽

pp. 3323-3332 ◽

Cited By ~ 6

Author(s):

K.H. Ng ◽

Shelton Peiris ◽

Richard Gerlach

Keyword(s):

Comparative Study ◽

Duration Models ◽

Autoregressive Conditional Duration

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Bootstrap prediction intervals for autoregressive conditional duration models

Journal of Statistical Computation and Simulation ◽

10.1080/00949655.2019.1644513 ◽

2019 ◽

Vol 89 (15) ◽

pp. 2930-2950 ◽

Cited By ~ 1

Author(s):

H. Pokhriyal ◽

N. Balakrishna

Keyword(s):

Prediction Intervals ◽

Duration Models ◽

Autoregressive Conditional Duration

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On Fréchet autoregressive conditional duration models

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2016.02.009 ◽

2016 ◽

Vol 175 ◽

pp. 51-66 ◽

Cited By ~ 5

Author(s):

Yao Zheng ◽

Yang Li ◽

Guodong Li

Keyword(s):

Duration Models ◽

Autoregressive Conditional Duration

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Detecting Misspecifications in Autoregressive Conditional Duration Models

SSRN Electronic Journal ◽

10.2139/ssrn.1017344 ◽

2007 ◽

Author(s):

Yongmiao Hong ◽

Yoon-Jin Lee

Keyword(s):

Duration Models ◽

Autoregressive Conditional Duration

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Statistical analysis of high frequency data using autoregressive conditional duration models

10.5353/th_b3122504 ◽

2001 ◽

Author(s):

Kwok-wing Pang

Keyword(s):

Statistical Analysis ◽

High Frequency ◽

Duration Models ◽

High Frequency Data ◽

Frequency Data ◽

Autoregressive Conditional Duration

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Diagnostic Checking for Weibull Autoregressive Conditional Duration Models

Advances in Time Series Methods and Applications - Fields Institute Communications ◽

10.1007/978-1-4939-6568-7_4 ◽

2016 ◽

pp. 107-114

Author(s):

Yao Zheng ◽

Yang Li ◽

Wai Keung Li ◽

Guodong Li

Keyword(s):

Duration Models ◽

Diagnostic Checking ◽

Autoregressive Conditional Duration

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Entropy test and residual empirical process for autoregressive conditional duration models

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2014.12.006 ◽

2015 ◽

Vol 86 ◽

pp. 1-12 ◽

Cited By ~ 5

Author(s):

Sangyeol Lee ◽

Haejune Oh

Keyword(s):

Empirical Process ◽

Duration Models ◽

Residual Empirical Process ◽

Autoregressive Conditional Duration

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Information Spillover Effect and Autoregressive Conditional Duration Models

10.4324/9781315768847 ◽

2014 ◽

Cited By ~ 1

Author(s):

Xiangli Liu

Keyword(s):

Spillover Effect ◽

Duration Models ◽

Information Spillover ◽

Autoregressive Conditional Duration

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Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

SSRN Electronic Journal ◽

10.2139/ssrn.892023 ◽

2005 ◽

Author(s):

Giampiero M. Gallo ◽

Giovanni De Luca

Keyword(s):

Duration Models ◽

Time Varying ◽

Autoregressive Conditional Duration

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