On the residual autocorrelation of the autoregressive conditional duration model
type: Item
instance of: scholarly article
title: On the residual autocorrelation of the autoregressive conditional duration model
zbMATH Open document ID: 1254.91677
DOI: 10.1016/S0165-1765(02)00303-8
author: Wai-Keun Li
author: Philip L. H. Yu
published in: Economics Letters
publication date: 2013-01-01T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 6120022
zbMATH Keywords: asymptotic distribution
zbMATH Keywords: autoregressive conditional duration models
zbMATH Keywords: goodness-of-fit test
zbMATH Keywords: residual autocorrelations
MaRDI profile type: Publication
cites work: Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
cites work: Significance levels of the Box-Pierce portmanteau statistic in finite samples
cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
cites work: ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
full work available at URL: s0165-1765(02)00303-8
OpenAlex ID: W1995090621
description: scientific article; zbMATH DE number 6120022