Browsing FGV EPGE - Ensaios Econômicos by Title "A family of autoregressive conditional duration models"

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    • 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 ...