Semiparametric Autoregressive Conditional Duration Model: Theory and Practice

DOI10.1080/07474938.2014.956594zbMath1491.62257OpenAlexW3124536543MaRDI QIDQ5863565

Patrick W. Saart, J. T. Gao, David E. Allen

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.956594

zbMATH Keywords

durationdependent point processsemiparametric time serieshazard rate and random measureirregularly spaced high-frequency data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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