A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data
In this paper, we propose a general family of Birnbaum−Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum−Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models by using a Box-Cox transformation with a...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-03-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/13/3/45 |