A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data
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Cited by:
- Saulo, Helton & Balakrishnan, Narayanaswamy & Vila, Roberto, 2023. "On a quantile autoregressive conditional duration model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 425-448.
- Puneet Prakash & Vikas Sangwan & Kewal Singh, 2021. "Transformational Approach to Analytical Value-at-Risk for near Normal Distributions," JRFM, MDPI, vol. 14(2), pages 1-19, January.
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Keywords
generalized Birnbaum–Saunders distributions; ACD models; Box-Cox transformation; high-frequency financial data; goodness-of-fit;All these keywords.
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