Modelling and forecasting with financial duration data using non-linear model

• المؤلفون الرئيسيون: Pooi, Ah Hin *, Ng, Kok Haur, Soo, Huei Ching *
• التنسيق: مقال
• اللغة: English
• منشور في: Academy of Economic Studies, Bucharest 2016
• الموضوعات: HA Statistics; HG Finance
• الوصول للمادة أونلاين: 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

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...