On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations (Q5222480)
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scientific article; zbMATH DE number 7184733
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| English | On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations |
scientific article; zbMATH DE number 7184733 |
Statements
On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations (English)
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1 April 2020
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autoregressive conditional duration
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diurnal duration patterns
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local linear estimator
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iterative plug-in
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cubic spline
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simulation
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0.7899839878082275
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0.7491182684898376
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0.7476098537445068
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0.7137930393218994
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