A family of autoregressive conditional duration models

Journal of Econometrics

Volumn 130, Issue 1, 2006, Pages 1-23

  Fernandes, Marcelo ^a   Grammig, Joachim ^b  

^a FUNDAÇÃO GETÚLIO VARGAS   (Brazil)

^b UNIVERSITY OF TÜBINGEN   (Germany)

Author keywords

Asymmetry; Box Cox transformation; Mixing property; Price duration; Shocks impact curve; Stationarity

Indexed keywords

ERGONOMICS; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS; MIXING; RECURSIVE FUNCTIONS;

ASYMMETRY; BOX-COX TRANSFORMATION; MIXING PROPERTY; PRICE DURATION; SHOCKS IMPACT CURVE; STATIONARITY;

METHOD OF MOMENTS;

EID: 28244447707     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.08.016     Document Type: Article

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