On the interday homogeneity in the intraday rate of trading
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Publication:1013160
DOI10.1016/j.matcom.2008.12.017zbMath1158.91458MaRDI QIDQ1013160
Publication date: 17 April 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.017
market microstructure; autoregressive conditional duration model; duration modeling; dependent point processes; high-frequency finance
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