Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data

DOI10.1007/S00362-017-0888-6zbMath1432.62315OpenAlexW2593352328WikidataQ56330939 ScholiaQ56330939MaRDI QIDQ2010814

Robert G. Aykroyd, Víctor Leiva, Jeremias Leão, Helton Saulo

Publication date: 28 November 2019

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-017-0888-6

zbMATH Keywords

Monte Carlo simulationinfluence diagnosticsbig dataBirnbaum-Saunders distributionlikelihood-based methodsforecasting ability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical aspects of big data and data science (62R07)

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Uses Software

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