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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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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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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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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On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property

Journal of Econometrics ◽

10.1016/j.jeconom.2015.02.012 ◽

2015 ◽

Vol 186 (2) ◽

pp. 317-324

Author(s):

A. Chatterjee ◽

S. Gupta ◽

S.N. Lahiri

Keyword(s):

Empirical Process ◽

Oracle Property ◽

High Dimensions ◽

Residual Empirical Process

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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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Microarray Analysis Using Rank Order Statistics for ARCH Residual Empirical Process

Open Journal of Statistics ◽

10.4236/ojs.2017.71005 ◽

2017 ◽

Vol 07 (01) ◽

pp. 54-71 ◽

Cited By ~ 1

Author(s):

Hiroko Kato Solvang ◽

Masanobu Taniguchi

Keyword(s):

Order Statistics ◽

Microarray Analysis ◽

Empirical Process ◽

Rank Order ◽

Residual Empirical Process ◽

Rank Order Statistics

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