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On the residual autocorrelation of the autoregressive conditional duration model

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  • Li, W. K.
  • Yu, Philip L. H.

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File URL: http://www.sciencedirect.com/science/article/B6V84-47MKR97-4/2/59ec8fcea91257691b1fa020c7477fba
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 79 (2003)
Issue (Month): 2 (May)
Pages: 169-175

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Handle: RePEc:eee:ecolet:v:79:y:2003:i:2:p:169-175

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  1. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
  2. Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 187-212, June.
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Cited by:
  1. Duchesne, Pierre, 2004. "On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model," Economics Letters, Elsevier, vol. 83(2), pages 193-197, May.
  2. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  3. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
  4. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, 09.
  5. repec:wyi:journl:002120 is not listed on IDEAS

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