FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2091444911> ?p ?o ?g. }

• W2091444911 endingPage "155" @default.
• W2091444911 startingPage "130" @default.
• W2091444911 abstract "Engle and Russell's autoregressive conditional duration (ACD) models have been proven successful in modelling financial data that arrive at irregular intervals. In practice, evaluating these models represents a crucial step. The spectral density is widely used in engineering and applied mathematics. Here, we advocate its use when testing for the so-called ACD effects, and for evaluating the adequacy of ACD models. Two classes of test statistics for duration clustering and one class of test statistics for the adequacy of ACD models are proposed. We adapt Hong's [Consistent testing for serial correlation of unknown form. Econometrica 1996;64:837–64; One-sided testing for conditional heteroskedasticity in time series models. Journal of Time Series Analysis 1997;18:253–77] approach in the context of evaluating ACD models. In particular, we justify rigorously the asymptotic distributions, which are all standard normal, of the test statistics in the ACD framework. When testing for ACD effects, the second class of test statistics exploits the one-sided nature of the alternative hypothesis and we discuss in which circumstances these test statistics should be more powerful. Using a particular kernel function, the classes based on integrated measures provide generalized versions of the classical Box–Pierce/Ljung–Box test statistics, which are popular procedures among practitioners. However, we obtain more powerful test procedures in many situations, using nonuniform kernels. Important aspects of the paper are a simulation study illustrating the merits of the proposed procedures in the ACD context, and applications with financial data." @default.
• W2091444911 created "2016-06-24" @default.
• W2091444911 creator A5064923814 @default.
• W2091444911 creator A5080468380 @default.
• W2091444911 date "2008-01-01" @default.
• W2091444911 modified "2023-10-10" @default.
• W2091444911 title "Evaluating financial time series models for irregularly spaced data: A spectral density approach" @default.
• W2091444911 cites W1556377938 @default.
• W2091444911 cites W1557932781 @default.
• W2091444911 cites W1570065356 @default.
• W2091444911 cites W1738720631 @default.
• W2091444911 cites W1977766231 @default.
• W2091444911 cites W1982671539 @default.
• W2091444911 cites W1985808284 @default.
• W2091444911 cites W1995090621 @default.
• W2091444911 cites W2013067493 @default.
• W2091444911 cites W2016287239 @default.
• W2091444911 cites W2032712062 @default.
• W2091444911 cites W2034664902 @default.
• W2091444911 cites W2035606631 @default.
• W2091444911 cites W2041904546 @default.
• W2091444911 cites W2049544633 @default.
• W2091444911 cites W2050238052 @default.
• W2091444911 cites W2058914716 @default.
• W2091444911 cites W2093230975 @default.
• W2091444911 cites W2104794525 @default.
• W2091444911 cites W2107640102 @default.
• W2091444911 cites W2134912411 @default.
• W2091444911 cites W2144844788 @default.
• W2091444911 cites W2151400558 @default.
• W2091444911 cites W2157495061 @default.
• W2091444911 cites W2787974994 @default.
• W2091444911 cites W3121960989 @default.
• W2091444911 cites W3124647621 @default.
• W2091444911 cites W3147777389 @default.
• W2091444911 cites W4229851743 @default.
• W2091444911 cites W4231247504 @default.
• W2091444911 cites W4232609070 @default.
• W2091444911 cites W4247340575 @default.
• W2091444911 doi "https://doi.org/10.1016/j.cor.2006.02.017" @default.
• W2091444911 hasPublicationYear "2008" @default.
• W2091444911 type Work @default.
• W2091444911 sameAs 2091444911 @default.
• W2091444911 citedByCount "13" @default.
• W2091444911 countsByYear W20914449112015 @default.
• W2091444911 countsByYear W20914449112016 @default.
• W2091444911 countsByYear W20914449112017 @default.
• W2091444911 countsByYear W20914449112021 @default.
• W2091444911 crossrefType "journal-article" @default.
• W2091444911 hasAuthorship W2091444911A5064923814 @default.
• W2091444911 hasAuthorship W2091444911A5080468380 @default.
• W2091444911 hasConcept C101104100 @default.
• W2091444911 hasConcept C105795698 @default.
• W2091444911 hasConcept C143724316 @default.
• W2091444911 hasConcept C149782125 @default.
• W2091444911 hasConcept C151730666 @default.
• W2091444911 hasConcept C2779343474 @default.
• W2091444911 hasConcept C33923547 @default.
• W2091444911 hasConcept C41008148 @default.
• W2091444911 hasConcept C86803240 @default.
• W2091444911 hasConcept C87007009 @default.
• W2091444911 hasConceptScore W2091444911C101104100 @default.
• W2091444911 hasConceptScore W2091444911C105795698 @default.
• W2091444911 hasConceptScore W2091444911C143724316 @default.
• W2091444911 hasConceptScore W2091444911C149782125 @default.
• W2091444911 hasConceptScore W2091444911C151730666 @default.
• W2091444911 hasConceptScore W2091444911C2779343474 @default.
• W2091444911 hasConceptScore W2091444911C33923547 @default.
• W2091444911 hasConceptScore W2091444911C41008148 @default.
• W2091444911 hasConceptScore W2091444911C86803240 @default.
• W2091444911 hasConceptScore W2091444911C87007009 @default.
• W2091444911 hasIssue "1" @default.
• W2091444911 hasLocation W20914449111 @default.
• W2091444911 hasOpenAccess W2091444911 @default.
• W2091444911 hasPrimaryLocation W20914449111 @default.
• W2091444911 hasRelatedWork W1570423303 @default.
• W2091444911 hasRelatedWork W1596516472 @default.
• W2091444911 hasRelatedWork W2072458142 @default.
• W2091444911 hasRelatedWork W2082929752 @default.
• W2091444911 hasRelatedWork W2108677674 @default.
• W2091444911 hasRelatedWork W2122520405 @default.
• W2091444911 hasRelatedWork W2185316230 @default.
• W2091444911 hasRelatedWork W2752702163 @default.
• W2091444911 hasRelatedWork W3124109721 @default.
• W2091444911 hasRelatedWork W4306166975 @default.
• W2091444911 hasVolume "35" @default.
• W2091444911 isParatext "false" @default.
• W2091444911 isRetracted "false" @default.
• W2091444911 magId "2091444911" @default.
• W2091444911 workType "article" @default.