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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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  • Li, W. K. & Yu, Philip L. H., 2003. "On the residual autocorrelation of the autoregressive conditional duration model," Economics Letters, Elsevier, vol. 79(2), pages 169-175, May.
    • Handle: RePEc:eee:ecolet:v:79:y:2003:i:2:p:169-175
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
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    Cited by:

    1. 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, Department of Economics, Indiana University Bloomington.
    2. Ng, F.C. & Li, W.K. & Yu, Philip L.H., 2016. "Diagnostic checking of the vector multiplicative error model," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 86-97.
    3. Ke, Rui & Lu, Wanbo & Jia, Jing, 2021. "Evaluating multiplicative error models: A residual-based approach," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
    4. repec:bla:jecsur:v:22:y:2008:i:4:p:711-751 is not listed on IDEAS
    5. 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.
    6. repec:wyi:journl:002120 is not listed on IDEAS
    7. 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.
    8. Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W., 2015. "A misspecification test for multiplicative error models of non-negative time series processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 346-359.

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