Inverse Gaussian distribution for modeling conditional durations in finance (Q5415862)
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scientific article; zbMATH DE number 6296429
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| English | Inverse Gaussian distribution for modeling conditional durations in finance |
scientific article; zbMATH DE number 6296429 |
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Inverse Gaussian Distribution for Modeling Conditional Durations in Finance (English)
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19 May 2014
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efficient importance sampling
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financial time series
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inverse Gaussian distribution
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stochastic conditional duration models
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0.7752566337585449
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0.7670689225196838
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0.7429870367050171
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