ADVANCEMENT OF AUTOREGRESSIVE CONDITIONAL DURATION MODELS INVOLVING LIQUIDITY AND PRICE DYNAMICS

DOI10.1017/S0004972716001398MaRDI QIDQ5269733zbMATH OpenOpenAlexFDO

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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