On diagnostic checking of the autoregressive conditional intensity model

Sai Man Simon KWOK, Wai Keung LI

Research output: Contribution to journalArticles

1 Citation (Scopus)

Abstract

The autoregressive conditional intensity model proposed by Russell (1998) is a promising option for fitting multivariate high frequency irregularly spaced data. The authors acknowledge the validity of this model by showing the independence of its generalized residuals, a crucial assumption of the model formulation not readily recognized by researchers. The authors derive the large‐sample distribution of the autocorrelations of the generalized residual series and use it to construct a goodness‐of‐fit test for the model. Empirical results compare the performance of their test with other off‐the‐shelf tests such as the Ljung–Box test. They illustrate the use of their test with transaction records of the HSBC stock. Copyright © 2008 Statistical Society of Canada.
Original languageEnglish
Pages (from-to)561-576
JournalCanadian Journal of Statistics
Volume36
Issue number4
DOIs
Publication statusPublished - Dec 2008

Citation

Kwok, S. M. S., & Li, W. K. (2008). On diagnostic checking of the autoregressive conditional intensity model. Canadian Journal of Statistics, 36(4), 561-576. doi: 10.1002/cjs.5550360405

Keywords

  • Asymptotic distribution
  • Autoregressive conditional intensity
  • Diagnostic test
  • Goodness‐of‐fit
  • Residual autocorrelation

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