Modeling financial durations using penalized estimating functions (Q1615270)

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Modeling financial durations using penalized estimating functions
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    Modeling financial durations using penalized estimating functions (English)
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    2 November 2018
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    Godambe information
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    high-frequency data
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    inter-event durations
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    log ACD models
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    online recursions
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    penalized estimating function
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