## Abstract The first purpose of this paper is to assess the shortβrun forecasting capabilities of two competing financial duration models. The forecast performance of the Autoregressive Conditional MultinomialβAutoregressive Conditional Duration (ACMβACD) model is better than the Asymmetric Autore
β¦ LIBER β¦
A comparison of financial duration models via density forecasts
β Scribed by Luc Bauwens; Pierre Giot; Joachim Grammig; David Veredas
- Book ID
- 113647715
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 782 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0169-2070
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