Bayesian estimation and prediction for ACD models in the analysis of trade durations from the Polish stock market
Year of publication: |
2014
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Authors: | Huptas, Roman |
Published in: |
Central European journal of economic modelling and econometrics. - Lodz : Polish Academy of Sciences, ISSN 2080-0886, ZDB-ID 2529553-6. - Vol. 6.2014, 4, p. 237-273
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Subject: | autoregressive conditional duration model (ACD model) | trade durations | financial market microstructure | Bayesian inference | Aktienmarkt | Stock market | Schätztheorie | Estimation theory | Dauer | Duration | Marktmikrostruktur | Market microstructure | Bayes-Statistik | Schätzung | Estimation | Polen | Poland | Börsenkurs | Share price | Statistische Bestandsanalyse | Duration analysis | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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