Evaluating Models of Autoregressive Conditional Duration

123 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, methodology): “Meitz and Teräsvirta (2006) develop a useful and very general battery of tests of LM type that allow extensive checks against different forms of misspecification of the functional form of the conditional mean duration: tests against higher-order ACD models, tests of linearity, and tests of…”