Estimating and simulating Weibull models of risk or price durations: An application to ACD models
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References listed on IDEAS
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- Hammoudeh, Shawkat & McAleer, Michael, 2013.
"Risk management and financial derivatives: An overview,"
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Elsevier, vol. 25(C), pages 109-115.
- Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
- Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Pooi AH-HIN & Ng KOK-HAUR & Soo HUEI-CHING, 2016. "Modelling and Forecasting with Financial Duration Data Using Non-linear Model," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 79-92.
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More about this item
KeywordsAutoregressive conditional duration; Estimating functions; Maximum likelihood; Quasi Maximum likelihood; Weibull distribution;
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