Efficient importance sampling for ML estimation of SCD models
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Cites work
- scientific article; zbMATH DE number 2104352 (Why is no real title available?)
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Bayesian analysis of the stochastic conditional duration model
- Econometric modelling of stock market intraday activity.
- Efficient high-dimensional importance sampling
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Time series of count data: Modeling, estimation and diagnostics
Cited in
(10)- Simulation-based estimation methods for financial time series models
- Bayesian inference of asymmetric stochastic conditional duration models
- Inverse Gaussian distribution for modeling conditional durations in finance
- Improving MCMC, using efficient importance sampling
- Estimating stochastic volatility models using realized measures
- Efficient importance sampling maximum likelihood estimation of stochastic differential equations
- Particle efficient importance sampling
- Modeling dynamic effects of promotion on interpurchase times
- Efficient importance sampling in mixture frameworks
- A flexible and automated likelihood based framework for inference in stochastic volatility models
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