Modelling and forecasting with financial duration data using non-linear model
The class of autoregressive conditional duration (ACD) models plays an important role in modelling the duration data in economics and finance. This paper presents a non-linear model to allow the first four moments of the duration to depend nonlinearly on past information variables. Theoretically the...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Academy of Economic Studies, Bucharest
2016
|
| Subjects: | |
| Online Access: | http://eprints.sunway.edu.my/433/1/Pooi%20Ah%20Hin.pdf http://eprints.sunway.edu.my/433/ http://www.ecocyb.ase.ro/nr20162/05%20-%20AH-HIN%20Pooi,%20KOK-HAUR%20Ng%20(T).pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|