Autoregressive conditional duration as a model for financial market crashes prediction
Year of publication: |
2013
|
---|---|
Authors: | Pyrlik, Vladimir |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 23, p. 6041-6051
|
Publisher: |
Elsevier |
Subject: | Dow Jones Industrial Average | Inter-event waiting time | Forecasting | ACD |
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