Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
Year of publication: |
[2019]
|
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Authors: | Blasques, Francisco ; Holý, Vladimír ; Tomanová, Petra |
Publisher: |
Amsterdam, The Netherlands : Tinbergen Institute |
Subject: | Financial High-Frequency Data | Autoregressive Conditional Duration Model | Zero-Inflated Negative Binomial Distribution | Generalized Autoregressive Score Model | Dauer | Duration | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation | Statistische Bestandsanalyse | Duration analysis | Schätzung | Estimation | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (circa 47 Seiten) Illustrationen |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2019, 004 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/205294 [Handle] |
Classification: | C22 - Time-Series Models ; C41 - Duration Analysis ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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