Periodic autoregressive conditional duration

DOI10.1111/jtsa.12588zbMath1493.62089OpenAlexW3043645000MaRDI QIDQ5030949

B. Almohaimeed, Stefanos Dimitrakopoulos, Abdelhakim Aknouche

Publication date: 18 February 2022

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/101696/1/MPRA_paper_101696.pdf

zbMATH Keywords

autoregressive conditional durationexponential QMLEmultiplicative error modelspositive time seriesperiodic time-varying modelstwo-stage gamma QMLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)

Related Items (4)

A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION ⋮ Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models ⋮ Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series ⋮ On an independent-switching periodic autoregressive conditional duration

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