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Diagnostic Checking for Weibull Autoregressive Conditional Duration Models

  • Yao ZhengEmail author
  • Yang Li
  • Wai Keung Li
  • Guodong Li
Chapter
  • 907 Downloads
Part of the Fields Institute Communications book series (FIC, volume 78)

Abstract

We derive the asymptotic distribution of residual autocorrelations for the Weibull autoregressive conditional duration (ACD) model, and this leads to a portmanteau test for the adequacy of the fitted Weibull ACD model. The finite-sample performance of this test is evaluated by simulation experiments and a real data example is also reported.

Keywords

Autoregressive conditional duration model Weibull distribution Model diagnostic checking Residual autocorrelation 

Mathematics Subject Classification (2010)

Primary 62M10 91B84 Secondary 37M10 

Notes

Acknowledgements

We are grateful to the co-editor and two anonymous referees for their valuable comments and constructive suggestions that led to the substantial improvement of this paper.

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  1. 1.Department of Statistics and Actuarial ScienceUniversity of Hong KongPokfulam RoadHong Kong

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