Bayesian inference of asymmetric stochastic conditional duration models

DOI10.1080/00949655.2015.1060235OpenAlexW1605241249MaRDI QIDQ5222408FDOQ5222408

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

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zbMATH Keywords

Markov chain Monte CarloBayesian inferencedeviance information criterioncorrelation effectslice samplerstochastic conditional duration

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Estimating the dimension of a model
• Slice sampling. (With discussions and rejoinder)
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• Bayesian Measures of Model Complexity and Fit
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• ARCH models and financial applications
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• Filtering via Simulation: Auxiliary Particle Filters
• Title not available (Why is that?)
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• Analysis of high dimensional multivariate stochastic volatility models
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• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Markov chains and stochastic stability
• Factor analysis and AIC
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks
• Convergence of Slice Sampler Markov Chains
• Estimation of the stochastic conditional duration model via alternative methods
• Bayesian analysis of the stochastic conditional duration model
• Efficient importance sampling for ML estimation of SCD models

Cited In (2)

• Bayesian analysis of the stochastic conditional duration model
• Bayesian analysis of duration models: An application to Chapter 11 bankruptcy

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