Evaluating models of autoregressive conditional duration

Journal of Business and Economic Statistics

Volumn 24, Issue 1, 2006, Pages 104-124

  Meitz, Mika ^a   Teräsvirta, Timo ^a  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

Author keywords

Autoregressive conditional duration model; Lagrange multiplier test; Model misspecification test; Nonlinear time series; Parameter constancy; Smooth transition autoregressive conditional duration model

Indexed keywords

EID: 30744469586     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500105000000081     Document Type: Review

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