File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: On the residual autocorrelation of the autoregressive conditional duration model

TitleOn the residual autocorrelation of the autoregressive conditional duration model
Authors
Li, WKYu, PLH
KeywordsAsymptotic distribution
Autoregressive conditional duration models
Goodness-of-fit test
Residual autocorrelations
Issue Date2003
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecolet
Citation
Economics Letters, 2003, v. 79 n. 2, p. 169-175 How to Cite?
DOI: http://dx.doi.org/10.1016/S0165-1765(02)00303-8
AbstractThe asymptotic distribution of residual autocorrelations in the autoregressive conditional duration model is derived. This results in a portmanteau goodness-of-fit statistic for this kind of model. Our result extends the model diagnostic checking methodology of Box-Jenkins to the autoregressive conditional duration models. © 2002 Elsevier Science B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82775
ISSN
0165-1765
2023 Impact Factor: 2.1
2023 SCImago Journal Rankings: 0.729
ISI Accession Number ID
WOS:000182434500004
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLi, WKen_HK
dc.contributor.authorYu, PLHen_HK
dc.date.accessioned2010-09-06T08:33:17Z-
dc.date.available2010-09-06T08:33:17Z-
dc.date.issued2003en_HK
dc.identifier.citationEconomics Letters, 2003, v. 79 n. 2, p. 169-175en_HK
dc.identifier.issn0165-1765en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82775-
dc.description.abstractThe asymptotic distribution of residual autocorrelations in the autoregressive conditional duration model is derived. This results in a portmanteau goodness-of-fit statistic for this kind of model. Our result extends the model diagnostic checking methodology of Box-Jenkins to the autoregressive conditional duration models. © 2002 Elsevier Science B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecoleten_HK
dc.relation.ispartofEconomics Lettersen_HK
dc.rightsEconomics Letters. Copyright © Elsevier BV.en_HK
dc.subjectAsymptotic distributionen_HK
dc.subjectAutoregressive conditional duration modelsen_HK
dc.subjectGoodness-of-fit testen_HK
dc.subjectResidual autocorrelationsen_HK
dc.titleOn the residual autocorrelation of the autoregressive conditional duration modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0165-1765&volume=79&spage=169&epage=175&date=2003&atitle=On+the+residual+autocorrelation+of+the+autoregressive+conditional+duration+modelen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.emailYu, PLH: plhyu@hkucc.hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.identifier.authorityYu, PLH=rp00835en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/S0165-1765(02)00303-8en_HK
dc.identifier.scopuseid_2-s2.0-0037401686en_HK
dc.identifier.hkuros79742en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0037401686&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume79en_HK
dc.identifier.issue2en_HK
dc.identifier.spage169en_HK
dc.identifier.epage175en_HK
dc.identifier.isiWOS:000182434500004-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridYu, PLH=7403599794en_HK
dc.identifier.issnl0165-1765-

Export via OAI-PMH Interface in XML Formats

OR

Export to Other Non-XML Formats