Stochastic volatility duration models (Q2439049): Difference between revisions

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+Joanna Jasiak
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+MaRDI publication profile
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+Maximum likelihood estimation of order m for stationary stochastic processes
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+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
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+Switching state-space models: likelihood function, filtering and smoothing
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+Simulated Moments Estimation of Markov Models of Asset Prices
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+A dynamic approach to the statistical analysis of point processes
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+DYNAMIC FACTOR MODELS
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+Econometric specification of stochastic discount factor models
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+Pseudo Maximum Likelihood Methods: Applications to Poisson Models
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+Life table methods for heterogeneous populations: Distributions describing the heterogeneity
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+Q4741623
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+Q3999328
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+A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
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+Simulation and the Asymptotics of Optimization Estimators
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+Partial non-Gaussian state space
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+Likelihood analysis of non-Gaussian measurement time series
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+Q3723549
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+Markov Regression Models for Time Series: A Quasi-Likelihood Approach
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+A nonlinear autoregressive conditional duration model with applications to financial transaction data
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