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Periodic autoregressive conditional duration - MaRDI portal

Periodic autoregressive conditional duration (Q5030949)

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scientific article; zbMATH DE number 7476225
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English
Periodic autoregressive conditional duration
scientific article; zbMATH DE number 7476225

    Statements

    title
    Periodic autoregressive conditional duration (English)
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    author
    Abdelhakim Aknouche
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    B. Almohaimeed
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    publication date
    18 February 2022
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    zbMATH Keywords
    positive time series
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    autoregressive conditional duration
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    periodic time-varying models
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    multiplicative error models
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    exponential QMLE
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    two-stage gamma QMLE
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    cites work
    Q4391131
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    GARCH Models
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    Q3089394
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    Q4839745
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    Q3998435
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    Q5546139
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    Identifiers

    DOI
    10.1111/jtsa.12588
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    Mathematics Subject Classification ID
    62M10
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    62F05
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    62F12
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    62M20
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    91B84
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    zbMATH DE Number
    7476225
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    OpenAlex ID
    W3043645000
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