Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
type: Item
instance of: scholarly article
title: Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
zbMATH Open document ID: 1432.62315
author: Helton Saulo
author: Jeremias Leão
author: Víctor Leiva
author: Robert G. Aykroyd
published in: Statistical Papers
publication date: 2019-11-28T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62R07
zbMATH DE Number: 7137953
zbMATH Keywords: big data
zbMATH Keywords: Birnbaum-Saunders distribution
zbMATH Keywords: forecasting ability
zbMATH Keywords: influence diagnostics
zbMATH Keywords: likelihood-based methods
zbMATH Keywords: Monte Carlo simulation
describes a project that uses: R
describes a project that uses: ACDm
MaRDI profile type: Publication
full work available at URL: s00362-017-0888-6
OpenAlex ID: W2593352328
Wikidata QID: Q56330939
cites work: How to Identify a Bathtub Hazard Rate
cites work: The Birnbaum-Saunders autoregressive conditional duration model
cites work: A new family of life distributions
cites work: Epsilon Birnbaum-Saunders distribution family: properties and inference
cites work: Joint Estimation of Model Parameters and Outlier Effects in Time Series
cites work: A Smooth Transition Autoregressive Conditional Duration Model
cites work: Additive Outlier Detection and Estimation for the Logarithmic Autoregressive Conditional Duration Model
cites work: Evaluating financial time series models for irregularly spaced data: a spectral density approach
cites work: Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
cites work: Q5663283
cites work: Non‐monotonic hazard functions and the autoregressive conditional duration model
cites work: On the hazard function of Birnbaum-Saunders distribution and associated inference
cites work: Q4322329
cites work: Birnbaum-Saunders frailty regression models: Diagnostics and application to medical data
cites work: Birnbaum–Saunders statistical modelling: a new approach
cites work: A family of autoregressive conditional duration models applied to financial data
cites work: A methodology for stochastic inventory models based on a zero‐adjusted Birnbaum‐Saunders distribution
cites work: Local Influence in Linear Mixed Models
cites work: Acceptance Sampling Plans from Truncated Life Tests Based on the Birnbaum–Saunders Distribution for Percentiles
cites work: On local influence for elliptical linear models
cites work: On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
cites work: Diagnostics in multivariate generalized Birnbaum-Saunders regression models
cites work: Reparameterized Birnbaum-Saunders regression models with varying precision
cites work: Exploring the potential use of the Birnbaum-Saunders distribution in inventory management
cites work: A note on influence diagnostics in AR(1) time series models
DOI: 10.1007/S00362-017-0888-6
Recommended article: A family of autoregressive conditional duration models applied to financial data
Recommended article: The Birnbaum-Saunders autoregressive conditional duration model
Recommended article: A nonlinear autoregressive conditional duration model with applications to financial transaction data
Recommended article: High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
Recommended article: On Fréchet autoregressive conditional duration models
Recommended article: A family of autoregressive conditional duration models
Recommended article: The stochastic conditional duration model: a latent variable model for the analysis of financial durations
description: scientific article; zbMATH DE number 7137953