Efficient importance sampling for ML estimation of SCD models (Q961389): Difference between revisions

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+Econometric modelling of stock market intraday activity.
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+Q4818643
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+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
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+Monte Carlo maximum likelihood estimation for non-Gaussian state space models
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Time series of count data: Modeling, estimation and diagnostics
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+Efficient high-dimensional importance sampling
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+Bayesian analysis of the stochastic conditional duration model
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