Modeling financial durations using penalized estimating functions
type: Item
instance of: scholarly article
title: Modeling financial durations using penalized estimating functions
zbMATH Open document ID: 1471.62232
author: Yaohua Zhang
author: Jian Zou
author: A. Thavaneswaran
author: Nalini Ravishanker
published in: Computational Statistics and Data Analysis
publication date: 2018-11-02T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6970987
zbMATH Keywords: Godambe information
zbMATH Keywords: high-frequency data
zbMATH Keywords: inter-event durations
zbMATH Keywords: log ACD models
zbMATH Keywords: online recursions
zbMATH Keywords: penalized estimating function
describes a project that uses: FinTS
MaRDI profile type: Publication
full work available at URL: j.csda.2018.08.020
OpenAlex ID: W2890824534
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Wikidata QID: Q129287695
DOI: 10.1016/J.CSDA.2018.08.020
description: scientific article; zbMATH DE number 6970987