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Parametric quantile autoregressive conditional duration models with application to intraday value-at-risk

• Authors : Saulo, Helton; Pal, Suvra; Souza, Rubens

Subjects: Statistics - Methodology; Statistics - Machine Learning; 62F99, 62M99

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Asymptotics for the Generalized Autoregressive Conditional Duration Model

• Authors : Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders

Subjects: Economics - Econometrics; Mathematics - Statistics Theory; Quantitative Finance - Statistical Finance

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Modeling high-frequency financial data using R and Stan: A bayesian autoregressive conditional duration approach

• Authors : Mosab I. Tabash; T. Muhammed Navas; P.V. Thayyib

Subjects: Bayesian Inference; Markov Chain Monte Carlo; MCMC

• Source: Journal of Open Innovation: Technology, Market and Complexity, Vol 10, Iss 2, Pp 100249- (2024)

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On a quantile autoregressive conditional duration model applied to high-frequency financial data

• Authors : Saulo, Helton; Balakrishnan, Narayanaswamy; Vila, Roberto

Subjects: Statistics - Methodology; Economics - Econometrics; 62F99, 62P99

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Autoregressive conditional duration modelling of high frequency data

• Authors : Yan, Xiufeng

Subjects: Economics - Econometrics; Statistics - Applications

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Clustering of Arrivals in Queueing Systems: Autoregressive Conditional Duration Approach

• Authors : Tomanová, Petra; Holý, Vladimír

Subjects: Statistics - Applications

• Source: Tomanov\'a, P. & Hol\'y, V. (2021). Clustering of Arrivals in Queueing Systems: Autoregressive Conditional Duration Approach. Central

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A Flexible Stochastic Conditional Duration Model

• Authors : Gingras, Samuel; McCausland, William J.

Subjects: Economics - Econometrics; Quantitative Finance - Statistical Finance; Statistics - Methodology

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Periodic autoregressive conditional duration.

• Authors : Aknouche, Abdelhakim^1,2 (AUTHOR); Almohaimeed, Bader¹ (AUTHOR); Dimitrakopoulos, Stefanos³ (AUTHOR)

• Source: Journal of Time Series Analysis. Jan2022, Vol. 43 Issue 1, p5-29. 25p.

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Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros

• Authors : Blasques, Francisco; Holý, Vladimír; Tomanová, Petra

Subjects: Quantitative Finance - Statistical Finance; Statistics - Methodology

• Source: (2023) Studies in Nonlinear Dynamics & Econometrics

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Bayesian Analysis of Inverse Gaussian Stochastic Conditional Duration Model

• Authors : C.G. Sri Ranganath; N. Balakrishna

Subjects: Stochastic conditional duration; Bayesian analysis; Markov Chain Monte Carlo

• Source: Journal of Statistical Theory and Applications (JSTA), Vol 18, Iss 4 (2019)

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