On diagnostic checking of the autoregressive conditional intensity model
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Publication:3626377
DOI10.1002/cjs.5550360405zbMath1166.62067OpenAlexW2008519505MaRDI QIDQ3626377
Wai Keung Li, Simon Sai Man Kwok
Publication date: 22 May 2009
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.5550360405
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- Evaluating financial time series models for irregularly spaced data: a spectral density approach
- A simple proof of the multivariate random time change theorem for point processes
- The equivalence of two tests of time series model adequacy
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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