8 citations · 8 across the 2 of their papers we have counts for
2 papers
q-fin.ST2018★ 8 cited
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
Francisco Blasques, Vladimír Holý, Petra Tomanová
In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values.…
q-fin.ST2016
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
F Blasques, P Gorgi, S Koopman +1
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood a…