A family of autoregressive conditional duration models applied to financial data (Q1623666): Difference between revisions

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Latest revision as of 23:16, 10 December 2024

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A family of autoregressive conditional duration models applied to financial data
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    A family of autoregressive conditional duration models applied to financial data (English)
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    23 November 2018
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    Birnbaum-Saunders distribution
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    EM algorithm
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    high-frequency data
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    maximum likelihood estimator
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    Monte Carlo simulation
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