Regime-switching Pareto distributions for ACD models
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- Franses,Philip Hans & Dijk,Dick van, 2000.
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- Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
- Drost, F.C. & Werker, B.J.M., 2004. "Semiparametric duration models," Other publications TiSEM a1895e3e-f720-454b-9613-f, Tilburg University, School of Economics and Management.
- Meitz, Mika & Terasvirta, Timo, 2006.
"Evaluating Models of Autoregressive Conditional Duration,"
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- Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004.
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