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Article: On diagnostic checking of the autoregressive conditional intensity model

TitleOn diagnostic checking of the autoregressive conditional intensity model
Authors
KeywordsAsymptotic distribution
Autoregressive conditional intensity
Diagnostic test
Goodness-of-fit
Residual autocorrelation
Issue Date2008
PublisherStatistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjs
Citation
Canadian Journal Of Statistics, 2008, v. 36 n. 4, p. 561-576 How to Cite?
AbstractThe autoregressive conditional intensity model proposed by Russell (1998) is a promising option for fitting multivariate high frequency irregularly spaced data. The authors acknowledge the validity of this model by showing the independence of its generalized residuals, a crucial, assumption of the model formulation not readily recognized by researchers. The authors derive the large-sample distribution of the autocorrelations of the generalized residual series and use it to construct a goodness-of-fit test for the model. Empirical results compare the performance of their test with other off-the-shelf tests such as the Ljung-Box test. They illustrate the use of their test with transaction records of the HSBC stock.
Persistent Identifierhttp://hdl.handle.net/10722/59869
ISSN
2015 Impact Factor: 0.413
2015 SCImago Journal Rankings: 0.737
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorKwok, SMSen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-05-31T03:59:06Z-
dc.date.available2010-05-31T03:59:06Z-
dc.date.issued2008en_HK
dc.identifier.citationCanadian Journal Of Statistics, 2008, v. 36 n. 4, p. 561-576en_HK
dc.identifier.issn0319-5724en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59869-
dc.description.abstractThe autoregressive conditional intensity model proposed by Russell (1998) is a promising option for fitting multivariate high frequency irregularly spaced data. The authors acknowledge the validity of this model by showing the independence of its generalized residuals, a crucial, assumption of the model formulation not readily recognized by researchers. The authors derive the large-sample distribution of the autocorrelations of the generalized residual series and use it to construct a goodness-of-fit test for the model. Empirical results compare the performance of their test with other off-the-shelf tests such as the Ljung-Box test. They illustrate the use of their test with transaction records of the HSBC stock.en_HK
dc.languageengen_HK
dc.publisherStatistical Society of Canada. The Journal's web site is located at http://www.mat.ulaval.ca/cjsen_HK
dc.relation.ispartofCanadian Journal of Statisticsen_HK
dc.subjectAsymptotic distributionen_HK
dc.subjectAutoregressive conditional intensityen_HK
dc.subjectDiagnostic testen_HK
dc.subjectGoodness-of-fiten_HK
dc.subjectResidual autocorrelationen_HK
dc.titleOn diagnostic checking of the autoregressive conditional intensity modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0319-5724&volume=36&issue=4&spage=561&epage=576&date=2008&atitle=On+diagnostic+checking+of+the+autoregressive+conditional+intensity+modelen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1002/cjs.5550360405-
dc.identifier.scopuseid_2-s2.0-59149101028en_HK
dc.identifier.hkuros162547en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-59149101028&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume36en_HK
dc.identifier.issue4en_HK
dc.identifier.spage561en_HK
dc.identifier.epage576en_HK
dc.identifier.isiWOS:000267403600005-
dc.publisher.placeCanadaen_HK
dc.identifier.scopusauthoridKwok, SMS=26025158700en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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