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...
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Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Academy of Economic Studies, Bucharest
2016
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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 |
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