On Fréchet autoregressive conditional duration models

DOI10.1016/j.jspi.2016.02.009zbMath1343.62076OpenAlexW2301843551MaRDI QIDQ282897

Guodong Li, Yang Li, Yao Zheng

Publication date: 12 May 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/231154

zbMATH Keywords

extreme valuesheavy tailsFréchet distributionACD models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Bootstrap prediction intervals for autoregressive conditional duration models ⋮ Review of statistical approaches for modeling high-frequency trading data ⋮ On a quantile autoregressive conditional duration model

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