Journal article
On a quantile autoregressive conditional duration model applied to high-frequency financial data
Abstract
Autoregressive conditional duration (ACD) models are primarily used to deal
with data arising from times between two successive events. These models are
Authors
Saulo H; Balakrishnan N; Vila R
Journal
, , ,
Publication Date
September 8, 2021
DOI
10.48550/arxiv.2109.03844