Browsing Produção Intelectual em Bases Externas by Author "Veiga, Alvaro"
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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro
2016-08-08In this article, we propose a class of logarithmic autoregressive conditional duration (ACD)-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and asymmetries in financial durations. ...


