Modelling and forecasting with financial duration data using non-linear model

QR Code

Modelling and forecasting with financial duration data using non-linear model

The class of autoregressive conditional duration (ACD) models plays an important role in modelling the duration data in economics and finance. This paper presents a non-linear model to allow the first four moments of the duration to depend nonlinearly on past information variables. Theoretically the...

Full description

Bibliographic Details
Main Authors:	Pooi, Ah Hin , Ng, Kok Haur, Soo, Huei Ching
Format:	Article
Language:	English
Published:	Academy of Economic Studies, Bucharest 2016
Subjects:	HA Statistics HG Finance
Online Access:	http://eprints.sunway.edu.my/433/ http://eprints.sunway.edu.my/433/1/Pooi%20Ah%20Hin.pdf

Similar Items

Prediction of mortality rates using augmented data
by: Tan Chon Sern,, et al.
Published: (2016)

Prediction of the start of next recession using latent factors
by: Pooi, Ah Hin *, et al.
Published: (2016)

Forecasting sales demand of new Proton car using bass diffusion model
by: Abu, Noratikah, et al.
Published: (2018)

Comparison between the parametric mixing distribution with Mover-Stayers model and non-parametric distribution for analysis of Tower of London data
by: Shahadan, Md Azman, et al.
Published: (2004)

A case study on modelling and forecasting electricity demand data using double seasonal arima
by: Puteri Aiman Syahirah, Rosman, et al.
Published: (2025)

Forecasting tea production in Malaysia / Tamil Selvan Krishnan.
by: Krishnan, Tamil Selvan.
Published: (2000)

An empirical comparison of meta analysis models for continuous data with missing standard deviations
by: Nik Idris, Nik Ruzni, et al.
Published: (2011)

Prediction of reserves using multivariate power-normal mixture distribution
by: Ang, Siew Ling *, et al.
Published: (2016)

Estimation of transition probabilities of credit ratings for several companies
by: Gan, Chew Peng *, et al.
Published: (2016)

Vector Regression Estimation and Linear Transformation
by: Usman, Mustofa, et al.
Published: (2006)

Simulation of parametric model towards the fixed covariate of right censored lung cancer data
by: Muhamad Jamil, Siti Afiqah, et al.
Published: (2017)

Optimising LSTM and BiLSTM models for time series forecasting through hyperparameter tuning
by: Nur Haizum, Abd Rahman, et al.
Published: (2025)

Regression Models with Heterogeneity
by: Daoud, Jamal Ibrahim
Published: (2012)

Stochastic models of heredity rhesus factor
by: Ganikhodjaev, Nasir, et al.
Published: (2010)

Prediction of mortality rates using a model with stochastic parameters
by: Tan Chon Sern,, et al.
Published: (2016)

Modeling of Electromagnetic Waves using Statistical and Numerical Techniques
by: Daud, Hanita, et al.
Published: (2009)

Data Collection & Analysis (Technology)
by: Mohd Rashid, Ab Hamid
Published: (2017)

Introduction to Property Information & Data Analysis
by: Mar Iman, Abdul Hamid
Published: (2008)

Modeling and forecasting: A case study of tourist arrivals in Malaysia
by: Abd Rahman, Nur Haizum, et al.
Published: (2019)

The Dynamics of Data Collection: A Generative Questionnaires
by: Norish Norsiah Aminudin,
Published: (2017)

Forecasting Stock Price using ARMA Model
by: Koh, Wei Sin, et al.
Published: (2020)

GARCH models for interest rates : the case of KLIBOR and LIBOR / by Chuah Lee Suan.
by: Chuah, Lee Suan
Published: (2001)

تحلبل الإرتباط ونماذج الإنحدار البسيظ = Analysis of correlation and simple regression models
Published: (2004)

Big Five Personality Test – An Investigation on the Quality of Data
by: Nur Fatihah, Mat Yusoff, et al.
Published: (2014)

Proportionality of financial ratios and prediction of the company performance of stocks in the Kuala Lumpur Stock Exchange / by Yeong Siew Foong.
by: Yeong, Siew Foong
Published: (2002)

Dimensioning performance estimation of the airline industry : path-analysis based modelling / Hashem Salarzadeh Jenatabadi
by: Jenatabadi, Hashem Salarzadeh
Published: (2013)

Confidence interval of ration of parameters in unbalanced split plot design under fixed effect model
by: Usman, Mustofa, et al.
Published: (2006)

Modeling undesirable factors in efficiency evaluation with an application to the Malaysian manufacturing sector / Noor Asiah bt Ramli
by: Ramli, Noor Asiah
Published: (2013)

K-sample tests based on survival analysis with interval-censored data
by: Elfaki, Faiz Ahmed Mohamed, et al.
Published: (2009)

Data Screening using SPSS for beginner: Outliers, Missing Values and Normality
by: Donald, Stephen
Published: (2016)

Determinants of tourism demand in ASEAN countries: a panel data approach
by: Heng, Wei Xin, et al.
Published: (2018)

Forecasting inflation in Malaysia
by: Duasa, Jarita, et al.
Published: (2010)

Behaviour of trading and non-trading stock returns in the Malaysian Stock Market / Tan Lay Khong
by: Tan, Lay Khong
Published: (2000)

Detecting overdispersion in count data: a zero-inflated poisson regression analysis
by: Muhamad Jamil, Siti Afiqah, et al.
Published: (2017)

The impact of digital financial services on financial inclusion among young entrepreneurs in Malaysia
by: Gan, Xin Ying, et al.
Published: (2024)

The hybrid returns-to-scale model and its extension by production trade-offs: an application to the efficiency assessment of public universities in Malaysia
by: Podinovski, Victor, V., et al.
Published: (2017)

Analysing count data of Butterflies communities in Jasin, Melaka: a poisson regression analysis
by: Muhamad Jamil, Siti Afiqah, et al.
Published: (2017)

Willingness of Generation Z towards financial planning
by: Lee, Jin Sheng, et al.
Published: (2024)

Measuring the efficiency of public universities in Malaysia : an application of data envelopment analysis / Muzalwana Abdul Talib
by: Abdul Talib, Muzalwana
Published: (2005)

Vector regression estimation and linear transformation
by: Daoud, Jamal Ibrahim, et al.
Published: (2008)