Extension and verification of the asymmetric autoregressive conditional duration models

DOI10.1080/00207160.2017.1283019zbMath1392.62334OpenAlexW2571726540MaRDI QIDQ3174924

Katarzyna Bień-Barkowska

Publication date: 18 July 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2017.1283019

zbMATH Keywords

market microstructureasymmetric ACD modelpoint process modellingprobability integral transformsultra-high-frequency financial data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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