Bounds for the probability distribution function of the linear ACD process

DOI10.1016/J.SPL.2004.02.008zbMath1097.62080OpenAlexW2070995084MaRDI QIDQ1770076

Marcelo Fernandes

Publication date: 7 April 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10438/898

zbMATH Keywords

Nonlinear modelsAutoregressive conditional duration modelDistribution lower boundFinancial duration analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• A family of autoregressive conditional duration models
• On the Distributional Properties of GARCH Processes
• Bathtub and Related Failure Rate Characterizations
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

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