Bayesian estimation and inference for log-ACD models (Q736572): Difference between revisions

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+Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
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+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
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+Generalized autoregressive conditional heteroscedasticity
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+Volatility forecasting using threshold heteroskedastic models of the intra-day range
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+A family of autoregressive conditional duration models
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+Autoregressive Conditional Density Estimation
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+On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
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+Nonparametric regression using Bayesian variable selection
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+Bayesian analysis of the stochastic conditional duration model
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+A nonlinear autoregressive conditional duration model with applications to financial transaction data
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