The stochastic conditional duration model: a latent variable model for the analysis of financial durations

DOI10.1016/S0304-4076(03)00201-XzbMath1282.91236OpenAlexW3124647621MaRDI QIDQ2439048

Luc Bauwens, David Veredas

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00201-x

zbMATH Keywords

hazard functiondurationmarket microstructurelatent variable model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Point estimation (62F10) Stochastic models in economics (91B70)

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