A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model
Year of publication: |
2005
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Authors: | Russell, Jeffrey R. ; Engle, Robert F. |
Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 23.2005, April, p. 166-180
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Publisher: |
American Statistical Association |
Saved in:
Online Resource
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