A family of autoregressive conditional duration models applied to financial data (Q1623666): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 04:06, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A family of autoregressive conditional duration models applied to financial data |
scientific article |
Statements
A family of autoregressive conditional duration models applied to financial data (English)
0 references
23 November 2018
0 references
Birnbaum-Saunders distribution
0 references
EM algorithm
0 references
high-frequency data
0 references
maximum likelihood estimator
0 references
Monte Carlo simulation
0 references
