Data-driven estimation of diurnal patterns of durations between trades on financial markets
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Publication:2251694
DOI10.1016/j.spl.2014.05.011zbMath1396.62088OpenAlexW2013338290MaRDI QIDQ2251694
Publication date: 15 July 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2014.05.011
local linear estimatorbandwidth selectionautoregressive conditional durationdiurnal duration patternsiterative plug-in
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Cites Work
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