Time-varying autoregressive conditional duration model

DOI10.1080/02664760902914458OpenAlexW2030000805MaRDI QIDQ5123583

Clélia M. C. Toloi, Adriana B. Bortoluzzo, Pedro Alberto Morettin

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760902914458

zbMATH Keywords

bootstrapwavelettime-varying parametersnon-stationaritydurationsACD model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

On an independent-switching periodic autoregressive conditional duration ⋮ Nonstationary autoregressive conditional duration models ⋮ On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations ⋮ Periodic autoregressive conditional duration

Uses Software

• wmtsa

Cites Work

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• Inference from iterative simulation using multiple sequences
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Pseudo Maximum Likelihood Methods: Theory
• On a measure of lack of fit in time series models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Model Checking via Parametric Bootstraps in Time Series Analysis
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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