A family of autoregressive conditional duration models applied to financial data (Q1623666)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A family of autoregressive conditional duration models applied to financial data |
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A family of autoregressive conditional duration models applied to financial data (English)
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23 November 2018
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Birnbaum-Saunders distribution
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EM algorithm
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high-frequency data
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maximum likelihood estimator
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Monte Carlo simulation
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