Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
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References listed on IDEAS
- COSMA, Antonio & GALLI, Fausto, 2006. "A nonparametric ACD model," CORE Discussion Papers 2006067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Antonio Cosma & Fausto Galli, 2006. "A Nonparametric ACD Model," LSF Research Working Paper Series 06-10, Luxembourg School of Finance, University of Luxembourg.
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- 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.
- 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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