Add to ORKGAbstract: This paper considers a ew class of time series models called Autoregressive Conditional Duration (ACD)models.Various statistical properties of this class of ACD models are given. A minimum mean square error (mmse)forecast function is obtained as it plays a important role in many practical applications.The theory is illustrated using a potential application based on financial data
Many existing extensions of the Engle and Russell's (1998 Engle , R. , Russell , J. , 1998 . Autoreg...
The theoretical basis of generalised versions of the Akaike Information Criterion (AIC) are reviewed...
Autoregressive Conditional Duration (ACD) models playa central role in modelling high frequency fina...
Abstract: This paper considers a ew class of time series models called Autoregressive Conditional Du...
In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent ...
The class of autoregressive conditional duration (ACD) models plays an important role in modelling t...
We first consider a new class of time series models (introduced by Engle and Russell (1998)) use in ...
This article contains two novelties. First, a unified framework for testing and evaluating the adequ...
This is the final version. Available on open access from Elsevier via the DOI in this recordWe estab...
This bachelor thesis deals with ACD (autoregressive conditional duration) model, which is used to es...
In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration ...
Abstract. In this paper, we suggest and evaluate specification tests to test the validity of the con...
Many existing extensions of the Engle and Russell's (1998 Engle , R. , Russell , J. , 1998 . Autoreg...
Many existing extensions of the Engle and Russell's (1998 Engle , R. , Russell , J. , 1998 . Autoreg...
Many existing extensions of the Engle and Russell's (1998 Engle , R. , Russell , J. , 1998 . Autoreg...
Many existing extensions of the Engle and Russell's (1998 Engle , R. , Russell , J. , 1998 . Autoreg...
The theoretical basis of generalised versions of the Akaike Information Criterion (AIC) are reviewed...
Autoregressive Conditional Duration (ACD) models playa central role in modelling high frequency fina...
Abstract: This paper considers a ew class of time series models called Autoregressive Conditional Du...
In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent ...
The class of autoregressive conditional duration (ACD) models plays an important role in modelling t...
We first consider a new class of time series models (introduced by Engle and Russell (1998)) use in ...
This article contains two novelties. First, a unified framework for testing and evaluating the adequ...
This is the final version. Available on open access from Elsevier via the DOI in this recordWe estab...
This bachelor thesis deals with ACD (autoregressive conditional duration) model, which is used to es...
In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration ...
Abstract. In this paper, we suggest and evaluate specification tests to test the validity of the con...
Many existing extensions of the Engle and Russell's (1998 Engle , R. , Russell , J. , 1998 . Autoreg...
Many existing extensions of the Engle and Russell's (1998 Engle , R. , Russell , J. , 1998 . Autoreg...
Many existing extensions of the Engle and Russell's (1998 Engle , R. , Russell , J. , 1998 . Autoreg...
Many existing extensions of the Engle and Russell's (1998 Engle , R. , Russell , J. , 1998 . Autoreg...
The theoretical basis of generalised versions of the Akaike Information Criterion (AIC) are reviewed...
Autoregressive Conditional Duration (ACD) models playa central role in modelling high frequency fina...