Bayesian Inference of Multiscale Stochastic Conditional Duration Models
Year of publication: |
2013-12
|
---|---|
Authors: | Men, Zhongxian ; Wirjanto, Tony S. ; Kolkiewicz, Adam W. |
Institutions: | Rimini Centre for Economic Analysis (RCEA) |
Subject: | Stochastic conditional Duration | Markov Chain Monte Carlo | Multiscale | Auxiliary particle filter | Probability integral transform | Deviance information criterion |
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