Helton Saulo, Narayanaswamy Balakrishnan, Roberto Vila
arXiv 8 Sep 2021 · Statistics — Methodology
arXiv:2109.03844 · PDF · DOI · OpenAlex · Extracted main text
Autoregressive conditional duration (ACD) models are primarily used to deal with data arising from times between two successive events. These models are usually specified in terms of a time-varying conditional mean or median duration. In this paper, we relax this assumption and consider a conditional quantile approach to facilitate the modeling of different percentiles. The proposed ACD quantile model is based on a skewed version of Birnbaum-Saunders distribution, which provides better fitting of the tails than the traditional Birnbaum-Saunders distribution, in addition to advancing the implementation of an expectation conditional maximization (ECM) algorithm. A Monte Carlo simulation study is performed to assess the behavior of the model as well as the parameter estimation method and to evaluate a form of residual. A real financial transaction data set is finally analyzed to illustrate the proposed approach.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Vilca, F., Santana, L., Leiva, V., and Balakrishnan, N (2011) Estimation of extreme percentiles in Birnbaum-Saunders distributions self | 1.000 | 6 | 3 | 100% |
| 2 | Saulo, H., Leão, J., Leiva, V., and Aykroyd, R. G (2019) Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data self | 0.928 | 4 | 4 | 100% |
| 3 | Bhatti, C (2010) The Birnbaum-Saunders autoregressive conditional duration model | 0.843 | 3 | 3 | 100% |
| 4 | Bauwens, L., Galli, F., and Giot, P (2003) The moments of log-ACD models | 0.644 | 4 | 1 | 100% |
| 5 | Balakrishnan, N. and Kundu, D (2019) Birnbaum-saunders distribution: A review of models, analysis, and applications self | 0.511 | 2 | 2 | 50% |
| 6 | Bhogal, S. K. and Variyam Thekke, R (2019) Conditional duration models for high-frequency data: A review on recent developments | 0.511 | 2 | 1 | 100% |
| 7 | Allen, D., Ng, K., and Peiris, S (2013) Estimating and simulating Weibull models of risk or price durations: An application to ACD models | 0.405 | 1 | 1 | 100% |
| 8 | Davison, A. C (2008) Statistical Models | 0.405 | 1 | 1 | 100% |
| 9 | Tse, Y.-k. and Yang, T. T (2012) Estimation of high-frequency volatility: An autoregressive conditional duration approach | 0.405 | 1 | 1 | 100% |
| 10 | Azzalini, A. and Capitanio, A (2014) The Skew-Normal and Related Families | 0.405 | 1 | 1 | 100% |
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