A QUASI-LOCALLY MOST POWERFUL TEST FOR CORRELATION IN THE CONDITIONAL VARIANCE OF POSITIVE DATA

DOI10.1111/j.1467-842X.2010.00596.xzbMath1336.62063OpenAlexW2146414774MaRDI QIDQ2802749

Keith Freeland, Gael M. Martin, B. P. M. McCabe

Publication date: 27 April 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2010.00596.x

zbMATH Keywords

asymptotic relative efficiencygamma distributionWeibull distributionquasi-likelihoodlocally most powerful testdurations data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

Cites Work

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• Bayesian analysis of the stochastic conditional duration model
• Parameterisation and efficient MCMC estimation of non-Gaussian state space models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Stochastic volatility duration models
• A Beta-Gamma autoregressive process of the second-order (BGAR(2))
• Modelling Financial High Frequency Data Using Point Processes
• Testing for Neglected Heterogeneity
• Gamma processes
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Estimation of Generalized Linear Latent Variable Models
• Some remarks on overdispersion

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