1. Parametric Quantile Autoregressive Conditional Duration Models With Application to Intraday Value‐at‐Risk Forecasting. (2025). Saulo, Helton ; Dasilva, Alan ; Vila, Roberto ; Souza, Rubens ; Pal, Suvra.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:44:y:2025:i:2:p:589-605.

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2. On a quantile autoregressive conditional duration model. (2023). Saulo, Helton ; Vila, Roberto ; Balakrishnan, Narayanaswamy.
   In: Mathematics and Computers in Simulation (MATCOM).
   RePEc:eee:matcom:v:203:y:2023:i:c:p:425-448.

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3. Log‐symmetric quantile regression models. (2022). Saulo, Helton ; Leiva, Victor ; Sanchez, Luis ; de la Fuentemella, Hanns ; Dasilva, Alan.
   In: Statistica Neerlandica.
   RePEc:bla:stanee:v:76:y:2022:i:2:p:124-163.

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4. A new BISARMA time series model for forecasting mortality using weather and particulate matter data. (2021). Saulo, Helton ; Souza, Rubens ; Vila, Roberto ; Aykroyd, Robert G ; Leiva, Victor.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:40:y:2021:i:2:p:346-364.

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5. A New Birnbaum–Saunders Distribution and Its Mathematical Features Applied to Bimodal Real-World Data from Environment and Medicine. (2021). Leiva, Victor ; Reyes, Jimmy ; Arrue, Jaime ; Martin-Barreiro, Carlos.
   In: Mathematics.
   RePEc:gam:jmathe:v:9:y:2021:i:16:p:1891-:d:611030.

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6. Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V ; Gomez-Deniz, Emilio.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:79:y:2021:i:c:p:151-160.

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7. On a quantile autoregressive conditional duration model applied to high-frequency financial data. (2021). Saulo, Helton ; Vila, Roberto ; Balakrishnan, Narayanaswamy.
   In: Papers.
   RePEc:arx:papers:2109.03844.

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8. Birnbaum-Saunders Quantile Regression Models with Application to Spatial Data. (2020). Saulo, Helton ; Leiva, Victor ; Galea, Manuel ; Sanchez, Luis.
   In: Mathematics.
   RePEc:gam:jmathe:v:8:y:2020:i:6:p:1000-:d:373382.

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9. A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data. (2020). Saulo, Helton ; Fernandez, Rodrigo ; Vila, Roberto ; Cunha, Danubia R.
   In: JRFM.
   RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:45-:d:327540.

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10. Modeling right-skewed financial data streams: A likelihood inference based on the generalized Birnbaum–Saunders mixture model. (2020). Naderi, Mehrdad ; Hashemi, Farzane ; Bekker, Andriette ; Jamalizadeh, Ahad.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:376:y:2020:i:c:s0096300320300783.

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11. Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Holy, Vladimir ; Tomanova, Petra.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20190004.

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12. Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data. (2019). Saulo, Helton ; Leiva, Victor ; Aykroyd, Robert G ; Leo, Jeremias.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:60:y:2019:i:5:d:10.1007_s00362-017-0888-6.

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13. “Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”. (2019). Sosvilla-Rivero, Simon ; Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge ; Gomez-Deniza, Emilio.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201907.

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14. Modelling bimodality of length of tourist stay. (2019). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, J V ; Gomez-Deniz, E.
    In: Annals of Tourism Research.
    RePEc:eee:anture:v:75:y:2019:i:c:p:131-151.

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15. Modelling and Forecasting with Financial Duration Data Using Non-linear Model. (2016). NG, KOK HAUR ; Huei-Ching, Soo ; Ah-Hin, Pooi ; Kok-Haur, NG.
    In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH.
    RePEc:cys:ecocyb:v:50:y:2016:i:2:p:79-92.

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16. Generalized Birnbaum–Saunders kernel density estimators and an analysis of financial data. (2013). Saulo, Helton ; Leiva, Victor ; Bertin, Karine ; Marchant, Carolina.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:63:y:2013:i:c:p:1-15.

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17. Shape and change point analyses of the Birnbaum–Saunders-t hazard rate and associated estimation. (2012). Leiva, Victor ; Balakrishnan, N ; Athayde, Emilia ; Azevedo, Cecilia.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:12:p:3887-3897.

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18. Modeling wind energy flux by a Birnbaum--Saunders distribution with an unknown shift parameter. (2011). Leiva, Victor ; Athayde, Emilia ; Azevedo, Cecilia ; Marchant, Carolina.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:38:y:2011:i:12:p:2819-2838.

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19. Bayesian inference for the Birnbaum–Saunders nonlinear regression model. (2011). Farias, Rafael ; Lemonte, Artur.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:20:y:2011:i:4:p:423-438.

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20. Testing hypotheses in the Birnbaum-Saunders distribution under type-II censored samples. (2011). Ferrari, Silvia L. P., ; Lemonte, Artur J..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:55:y:2011:i:7:p:2388-2399.

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1. Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2. Short T dynamic panel data models with individual, time and interactive effects. (2023). Pesaran, Mohammad ; Smith, Vanessa L ; Hayakawa, Kazuhiko.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:38:y:2023:i:6:p:940-967.

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3. Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution. (2022). NG, KOK HAUR ; Koh, You Beng ; Tan, Yiing Fei ; Peiris, Shelton.
   In: Mathematics.
   RePEc:gam:jmathe:v:10:y:2022:i:10:p:1621-:d:812347.

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4. The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders.
   In: Papers.
   RePEc:arx:papers:2208.02098.

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5. Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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6. A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data. (2020). Saulo, Helton ; Fernandez, Rodrigo ; Vila, Roberto ; Cunha, Danubia R.
   In: JRFM.
   RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:45-:d:327540.

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7. Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Nguyen, Giang ; Ghysels, Eric.
   In: Journal of Econometrics.
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8. Point forecasting of intraday volume using Bayesian autoregressive conditional volume models. (2019). Huptas, Roman.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:38:y:2019:i:4:p:293-310.

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9. A generalized least squares estimation method for the autoregressive conditional duration model. (2019). Lu, Wanbo ; Ke, Rui.
   In: Statistical Papers.
   RePEc:spr:stpapr:v:60:y:2019:i:1:d:10.1007_s00362-016-0830-3.

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10. Modeling financial durations using penalized estimating functions. (2019). Zhang, Yaohua ; Ravishanker, Nalini ; Zou, Jian ; Thavaneswaran, Aerambamoorthy.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:131:y:2019:i:c:p:145-158.

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11. The Log-GARCH Model via ARMA Representations. (2018). Sucarrat, Genaro.
    In: MPRA Paper.
    RePEc:pra:mprapa:100386.

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12. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data. (2017). Xu, Yongdeng ; Taylor, Nick.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:7:p:1021-1035.

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    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:10:p:1617-1630.

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    In: Journal of Econometrics.
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15. The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach. (2016). Huptas, Roman.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:8:y:2016:i:1:p:1-20.

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16. Outlier Detection in the Lognormal Logarithmic Conditional Autoregressive Range Model. (2016). Chou, Ray ; Chiang, Min-Hsien ; Wang, Li-Min.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:78:y:2016:i:1:p:126-144.

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17. Semiparametric Autoregressive Conditional Duration Model: Theory and Practice. (2015). Saart, Patrick ; GAO, Jiti ; Allen, David.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:849-881.

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18. On inter-arrival times of bond market extreme events. An application to seven European markets. (2015). Venetis, Ioannis ; Siakoulis, Vasileios.
    In: Journal of Economics and Finance.
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19. Generalized duration models and optimal estimation using estimating functions. (2015). Liang, You ; Ravishanker, Nalini ; Thavaneswaran, Aerambamoorthy.
    In: Annals of the Institute of Statistical Mathematics.
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20. Modeling bank default intensity in the USA using autoregressive duration models. (2015). Siakoulis, Vasilios .
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21. Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD. (2015). Feng, Yuanhua ; Zhou, Chen.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:2:p:349-363.

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22. Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market. (2014). Huptas, Roman.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:6:y:2014:i:4:p:237-273.

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23. GARCH models without positivity constraints: Exponential or log GARCH?. (2013). Zakoian, Jean-Michel ; Wintenberger, Olivier ; Francq, Christian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:1:p:34-46.

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24. The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics. (2013). NG, KOK HAUR ; Allen, David ; Peiris, Shelton.
    In: Economics Letters.
    RePEc:eee:ecolet:v:120:y:2013:i:1:p:117-122.

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25. Estimating and simulating Weibull models of risk or price durations: An application to ACD models. (2013). NG, KOK HAUR ; Allen, David ; Peiris, Shelton.
    In: The North American Journal of Economics and Finance.
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26. Garch models without positivity constraints: exponential or log garch?. (2012). Zakoian, Jean-Michel ; Wintenberger, Olivier ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:41373.

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27. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2011). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201125.

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28. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2010). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201019.

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29. The Birnbaum–Saunders autoregressive conditional duration model. (2010). Bhatti, Chad R..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:80:y:2010:i:10:p:2062-2078.

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30. Modeling Volatility in Foreign Currency Option Pricing. (2009). Hoque, Ariful ; Chan, Felix ; Manzur, Meher.
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31. On the interday homogeneity in the intraday rate of trading. (2009). Bhatti, Chad R..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:7:p:2250-2257.

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32. Intraday trade and quote dynamics: A Cox regression analysis. (2009). Bhatti, Chad R..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:7:p:2240-2249.

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33. Market Data Resources for Researchers: The SIRCA Data Repository. (2009). Peat, Maurice.
    In: Australian Economic Review.
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