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A comparison of financial duration models via density forecasts. (2004). Veredas, David ; Grammig, Joachim ; Giot, Pierre ; Bauwens, Luc.
In: International Journal of Forecasting.
RePEc:eee:intfor:v:20:y:2004:i:4:p:589-609.

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  2. A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern.
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  3. Frequency and severity estimation of cyber attacks using spatial clustering analysis. (2022). Jin, Zhuo ; Chu, Tingjin ; Ma, Boyuan.
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  5. Clustering of arrivals in queueing systems: autoregressive conditional duration approach. (2021). Hol, Vladimir ; Tomanova, Petra.
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  6. Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Perez-Rodriguez, Jorge V.
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  30. Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes. (2014). Kole, Erik ; Franses, Philip Hans ; and Philip Hans Franses, ; Gresnigt, Francine.
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  50. Shrinkage estimation of semiparametric multiplicative error models. (2011). Gallo, Giampiero ; Brownlees, Christian.
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