On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators (Q4976477)
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scientific article; zbMATH DE number 6754883
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators |
scientific article; zbMATH DE number 6754883 |
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On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators (English)
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31 July 2017
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autoregressive conditional duration
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duration clustering
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high frequency financial time series
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model adequacy
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parameter estimation uncertainty
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spectral density
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standardized duration residual
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wavelet
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