Autoregressive Conditional Duration¶

Engle, R. F., & Russell, J. R. (1998). Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica, 1127-1162.

Type: Journal article
Intellectual base: Primary research
Year: 1998
DOI: 10.2307/2999632
Link: https://doi.org/10.2307/2999632

Cited by¶

1 citation across 1 artifact.

Domain-specific¶

Autoregressive Conditional Duration
- Engle and Russell introduced the model for clustered, irregularly spaced financial transaction data.

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Registry ID ref:1d63e6a413c2 · see in the full table