Data-driven estimation of diurnal patterns of durations between trades on financial markets (Q2251694)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Data-driven estimation of diurnal patterns of durations between trades on financial markets |
scientific article |
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Data-driven estimation of diurnal patterns of durations between trades on financial markets (English)
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15 July 2014
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autoregressive conditional duration
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diurnal duration patterns
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local linear estimator
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bandwidth selection
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iterative plug-in
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