On the interday homogeneity in the intraday rate of trading

DOI10.1016/j.matcom.2008.12.017zbMath1158.91458MaRDI QIDQ1013160

Chad R. Bhatti

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

zbMATH Keywords

market microstructure; autoregressive conditional duration model; duration modeling; dependent point processes; high-frequency finance

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

Related Items

The Birnbaum-Saunders autoregressive conditional duration model

Uses Software

• R

Cites Work

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