Nonstationary autoregressive conditional duration models

DOI10.1515/snde-2015-0057OpenAlexW2736587644MaRDI QIDQ2691715

T. V. Ramanathan, Anuj Mishra

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0057

zbMATH Keywords

nonstationaritylocal polynomial estimationhigh frequency dataautoregressive conditional duration modelstime varying ACD model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

On an independent-switching periodic autoregressive conditional duration ⋮ Periodic autoregressive conditional duration

Uses Software

• KernSmooth

Cites Work

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