Non‐monotonic hazard functions and the autoregressive conditional duration model (Q4762171)
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scientific article; zbMATH DE number 1568639
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non‐monotonic hazard functions and the autoregressive conditional duration model |
scientific article; zbMATH DE number 1568639 |
Statements
Non‐monotonic hazard functions and the autoregressive conditional duration model (English)
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2000
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financial transaction data
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autoregressive conditional duration model
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hazard function
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Burr distribution
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market microstructure
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price durations
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self-exciting point process
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