A trend-switching financial time series model with level-duration dependence

DOI10.1155/2012/345093zbMath1264.91096OpenAlexW2151528993WikidataQ58911458 ScholiaQ58911458MaRDI QIDQ1954678

Tao Huang, Yong Jiang, Qingsheng Wang, Min Chen, Ai-Fan Ling

Publication date: 11 June 2013

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/345093

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

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• A nonlinear autoregressive conditional duration model with applications to financial transaction data

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