Mixture Processes for Financial Intradaily Durations
Year of publication: |
2004
|
---|---|
Authors: | Luca, Giovanni De ; Gallo, Giampiero |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 8.2004, 2, p. 1223-1223
|
Publisher: |
Berkeley Electronic Press |
Subject: | Ultra-high frequency data | Autoregressive Conditional Duration Models | Volatility | Market microstructure | Mixture of distributions |
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