ADVANCEMENT OF AUTOREGRESSIVE CONDITIONAL DURATION MODELS INVOLVING LIQUIDITY AND PRICE DYNAMICS

DOI10.1017/S0004972716001398zbMATH Open1366.62200OpenAlexW2413621800MaRDI QIDQ5269733FDOQ5269733

Authors: Rasika Pushpamali Yatigammana 

Publication date: 27 June 2017

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0004972716001398

zbMATH Keywords

autoregressiveextreme quantilesliquidityconditional durationprice dynamicsprobit framework

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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