18 citations · 50 across the 51 of their papers we have counts for
4 papers · 1 filter
Parametric quantile autoregressive conditional duration models with application to intraday value-at-risk
Helton Saulo, Suvra Pal, Rubens Souza +2
The modeling of high-frequency data that qualify financial asset transactions has been an area of relevant interest among statisticians and econometricians -- above all, the analys…
Bivariate autoregressive conditional models: A new method for jointly modeling duration and number of transactions of irregularly spaced financial data
Helton Saulo, Suvra Pal, Roberto Vila
In this paper, a new approach to bivariate modeling of autoregressive conditional duration (ACD) models is proposed. Specifically, we consider the joint modeling of durations and t…
An upper bound and a characterization for Gini's mean difference based on correlated random variables
Roberto Vila, Narayanaswamy Balakrishnan, Helton Saulo
In this paper, we obtain an upper bound for the Gini mean difference based on mean, variance and correlation for the case when the variables are correlated. We also derive some clo…
Bivariate distributions on the unit square: Theoretical properties and applications
Roberto Vila, Narayanaswamy Balakrishnan, Helton Saulo +1
We introduce the bivariate unit-log-symmetric model based on the bivariate log-symmetric distribution (BLS) defined in [Vila et al., 2022, Bivariate Log-symmetric Models: Theoretic…