Evaluating Models of Autoregressive Conditional Duration
نویسندگان
چکیده
منابع مشابه
Evaluating Models of Autoregressive Conditional Duration
This article contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are introduced and their properties discussed. New misspecification tests for the ACD class of models are introd...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2006
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500105000000081