Concepedia

A family of autoregressive conditional duration models applied to financial data

Víctor Leiva, Helton Saulo, Jeremias Leão, Carolina Marchant

Computational Statistics & Data Analysis · 2014 · 59 citations · 46 references

DOI

Concepts

References

46

Analysis of Financial Time Series

Technometrics · 2006 · 2.4K citations

, , +12

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Robert F. Engle, Jeffrey R. Russell · Econometrica · 1998 · 1.9K citations

, , +17

A new family of life distributions

Z. W. Birnbaum, Sam C. Saunders · Journal of Applied Probability · 1969 · 805 citations

, , +15

The econometrics of ultra-high frequency data /

Robert F. Engle · The Journal of the Abraham Lincoln Association · 800 citations · Full text

, , +17

Acceptance Sampling Plans from Truncated Life Tests Based on the Generalized Birnbaum–Saunders Distribution

N. Balakrishnan, Víctor Leiva, Jorge López · Communications in Statistics - Simulation and Computation · 2007 · 280 citations

, , +15