Bayesian Analysis of the Stochastic Conditional Duration Model
Year of publication: |
2003-08
|
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Authors: | Strickland, Chris M. ; Forbes, Catherine S. ; Martin, Gael M. |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | Transaction data | Latent factor model | Non-Gaussian state space model | Kalman filter and simulation smoother |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 14/03 28 pages |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C41 - Duration Analysis |
Source: |
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Horney, Guillaume, (2005)
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Horny, Guillaume, (2009)
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Horny, Guillaume, (2009)
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Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
Maneesoonthorn, Worapree, (2013)
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Forbes, Catherine S., (2003)
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Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models
Ng, Jason, (2011)
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