Browsing Faculty of Natural and Agricultural Sciences by Author "Obradović, Marko"
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Goodness-of-fit tests in conditional duration models
Meintanis, Simos G.; Milošević, Bojana; Obradović, Marko (Springer, 2020)We propose specification tests for the innovation distribution in conditional duration models. The new tests are based either on the cumulative distribution function, or on exponential transforms such as the Laplace transform ...