Now showing items 1-3 of 3

    • A family of autoregressive conditional duration models 

      Fernandes, Marcelo; Grammig, Joachim
      2003-10-05
      This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional ...
    • A family of autoregressive conditional duration models 

      Fernandes, Marcelo; Grammig, Joachim
      2002-03-18
      This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional ...
    • Nonparametric specification tests for conditional duration models 

      Fernandes, Marcelo; Grammig, Joachim
      2003-10-06
      This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric ...