Mixture Processes for Financial Intradaily Durations (Q3368339)
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scientific article; zbMATH DE number 5002392
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| English | Mixture Processes for Financial Intradaily Durations |
scientific article; zbMATH DE number 5002392 |
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Mixture Processes for Financial Intradaily Durations (English)
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27 January 2006
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Ultra-high frequency data
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Autoregressive Conditional Duration Models
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Volatility
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Market microstructure
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Mixture of distributions
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0.8725503087043762
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0.8340871334075928
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0.7993561029434204
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0.7941758632659912
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