Regime-switching Pareto distributions for ACD models
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- Meitz, Mika & Terasvirta, Timo, 2006.
"Evaluating Models of Autoregressive Conditional Duration,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 24, pages 104-124, January.
- 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.
- repec:cup:cbooks:9780521770415 is not listed on IDEAS
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- 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.
- repec:cup:cbooks:9780521779654 is not listed on IDEAS
- 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.
- Joachim Grammig & Kai-Oliver Maurer, 2000. "Non-monotonic hazard functions and the autoregressive conditional duration model," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 16-38.
- Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455.
- 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.
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