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Article: On Fréchet autoregressive conditional duration models

TitleOn Fréchet autoregressive conditional duration models
Authors
Zheng, YLi, YLi, G
KeywordsACD models
Extreme values
Fréchet distribution
Heavy tails
Issue Date2016
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jspi
Citation
Journal of Statistical Planning and Inference, 2016, v. 175, p. 51-66 How to Cite?
DOI: http://dx.doi.org/10.1016/j.jspi.2016.02.009
Persistent Identifierhttp://hdl.handle.net/10722/231154
ISSN
0378-3758
2021 Impact Factor: 1.095
2020 SCImago Journal Rankings: 0.622
ISI Accession Number ID
WOS:000376798600005

 

DC FieldValueLanguage
dc.contributor.authorZheng, Y-
dc.contributor.authorLi, Y-
dc.contributor.authorLi, G-
dc.date.accessioned2016-09-20T05:21:01Z-
dc.date.available2016-09-20T05:21:01Z-
dc.date.issued2016-
dc.identifier.citationJournal of Statistical Planning and Inference, 2016, v. 175, p. 51-66-
dc.identifier.issn0378-3758-
dc.identifier.urihttp://hdl.handle.net/10722/231154-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jspi-
dc.relation.ispartofJournal of Statistical Planning and Inference-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectACD models-
dc.subjectExtreme values-
dc.subjectFréchet distribution-
dc.subjectHeavy tails-
dc.titleOn Fréchet autoregressive conditional duration models-
dc.typeArticle-
dc.identifier.emailLi, G: gdli@hku.hk-
dc.identifier.authorityLi, G=rp00738-
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.jspi.2016.02.009-
dc.identifier.scopuseid_2-s2.0-84962580031-
dc.identifier.hkuros264575-
dc.identifier.volume175-
dc.identifier.spage51-
dc.identifier.epage66-
dc.identifier.isiWOS:000376798600005-
dc.publisher.placeNetherlands-
dc.identifier.issnl0378-3758-

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