On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators
DOI10.1007/978-1-4939-6568-7_3zbMath1367.62254OpenAlexW2560248155MaRDI QIDQ4976477
Pierre Duchesne, Yongmiao Hong
Publication date: 31 July 2017
Published in: Advances in Time Series Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4939-6568-7_3
waveletspectral densitymodel adequacyautoregressive conditional durationparameter estimation uncertaintyduration clusteringhigh frequency financial time seriesstandardized duration residual
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) Inference from stochastic processes and spectral analysis (62M15)
Uses Software
Cites Work
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