Forecasting trade durations via ACD models with mixture distributions
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Publication:5120735
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Cites work
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- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- Mixture Processes for Financial Intradaily Durations
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- Regression Quantiles
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- Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
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Cited in
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- Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
- Mixture inverse Gaussian for unobserved heterogeneity in the autoregressive conditional duration model
- Conditional duration model and the unobserved market heterogeneity of traders: an infinite mixture of non-exponentials
- Econometric analysis of financial trade processes by discrete mixture duration models
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