Conditional duration model and the unobserved market heterogeneity of traders: an infinite mixture of non-exponentials (Q5114083)
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scientific article; zbMATH DE number 7213450
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| English | Conditional duration model and the unobserved market heterogeneity of traders: an infinite mixture of non-exponentials |
scientific article; zbMATH DE number 7213450 |
Statements
Conditional Duration Model and Unobserved Market Heterogeneity of Traders. An Infinite Mixture of Non–Exponentials (English)
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21 June 2020
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autoregressive conditional duration model
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exponential distribution
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gamma distribution
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heterogeneity
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reciprocal inverse Gaussian distribution
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0.8554304838180542
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0.8050700426101685
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0.7902331948280334
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0.7890260219573975
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0.7868766188621521
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