Bayesian inference of asymmetric stochastic conditional duration models

DOI10.1080/00949655.2015.1060235MaRDI QIDQ5222408zbMATH OpenOpenAlexFDO

Authors Zhongxian Men, Tony S. Wirjanto, Adam W. Kolkiewicz

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL http://www.rcea.org/RePEc/pdf/wp28_13.pdf

zbMATH Keywords

Bayesian inferencecorrelation effectdeviance information criterionMarkov chain Monte Carloslice samplerstochastic conditional duration

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Analysis of high dimensional multivariate stochastic volatility models
• ARCH models and financial applications
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian analysis of the stochastic conditional duration model
• Bayesian inference on GARCH models using the Gibbs sampler
• Bayesian Measures of Model Complexity and Fit
• Convergence of Slice Sampler Markov Chains
• Efficiency and Convergence Properties of Slice Samplers
• Efficient importance sampling for ML estimation of SCD models
• Estimating the dimension of a model
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Estimation of the stochastic conditional duration model via alternative methods
• Factor analysis and AIC
• Filtering via Simulation: Auxiliary Particle Filters
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1522717 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks
• Markov chains and stochastic stability
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Slice sampling. (With discussions and rejoinder)
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

Cited in

(4)

• Bayesian analysis of duration models: An application to Chapter 11 bankruptcy
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Bayesian estimation and inference for log-ACD models
• Bayesian analysis of the stochastic conditional duration model

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