On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators

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

10.1007/978-1-4939-6568-7_3 ◽

2016 ◽

pp. 47-106

Author(s):

Pierre Duchesne ◽

Yongmiao Hong

Keyword(s):

Spectral Density ◽

Duration Models ◽

Diagnostic Checking ◽

Autoregressive Conditional Duration ◽

Density Estimators

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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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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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Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2007.00548.x ◽

2007 ◽

Vol 29 (1) ◽

pp. 142-162 ◽

Cited By ~ 24

Author(s):

Nigar Hashimzade ◽

Timothy J. Vogelsang

Keyword(s):

Spectral Density ◽

Asymptotic Approximation ◽

Density Estimators

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A class of spectral density estimators

Annals of the Institute of Statistical Mathematics ◽

10.1007/bf02480312 ◽

1980 ◽

Vol 32 (1) ◽

pp. 65-80 ◽

Cited By ~ 1

Author(s):

Gilbert G. Walter

Keyword(s):

Spectral Density ◽

Density Estimators

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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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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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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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Asymptotic Normality of the Spectral Density Estimators for Periodically Correlated Stochastic Processes

Recent Advances in Statistics and Probability ◽

10.1515/9783112313961-026 ◽

1994 ◽

pp. 285-292

Keyword(s):

Spectral Density ◽

Asymptotic Normality ◽

Stochastic Processes ◽

Density Estimators

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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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