Stochastic volatility duration models (Q2439049): Difference between revisions

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