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~isPartOf:"Journal of Risk and Financial Management"
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Threshold
stochastic
conditional
duration
model for financial transaction data
Men, Zhongxian
;
Kolkiewicz, Adam W.
;
Wirjanto, Tony S.
- In:
Journal of Risk and Financial Management
12
(
2019
)
2
,
pp. 1-21
This paper proposes a variant of a threshold
stochastic
conditional
duration
(TSCD) model for financial data at the …
Persistent link: https://www.econbiz.de/10012611110
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