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Search: subject:"autoregressive conditional duration"
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Bayesian inference
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autoregressive conditional duration model (ACD model)
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financial market microstructure
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trade durations
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ARCH-Modell
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Aktienmarkt
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Bayes-Statistik
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Duration analysis
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Huptas, Roman
Blasques, Francisco
8
Koopman, Siem Jan
6
Lucas, André
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Tse, Yiu Kuen
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Herrera, Rodrigo
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Dong, Yingjie
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Lanne, Markku
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Peitz, Christian
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Tse, Yiu-Kuen
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Feng, Yuanhua
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Grammig, Joachim
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Jokivuolle, Esa
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Lasak, Katarzyna
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Schipp, Bernhard
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Tay, Anthony
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Ting, Christopher
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Tomanová, Petra
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Warachka, Mitch
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Łasak, Katarzyna
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Bowe, Michael
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Diana, Tony
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Forstinger, Sarah
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Gallo, Giampiero
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González, Nicolás
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Holý, Vladimír
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Hyde, Stuart
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Liu, Shouwei
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Luca, Giovanni De
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Manganelli, Simone
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Małecka, Marta
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McFarlane, Lavern
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Pacurar, Maria
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Peiris, Shelton
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Pohlmeier, Winfried
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Wellner, Marc
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Wu, Zhengxiao
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Abid, Fathi
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Central European Journal of Economic Modelling and Econometrics
1
Central European journal of economic modelling and econometrics
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ECONIS (ZBW)
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Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market
Huptas, Roman
- In:
Central European Journal of Economic Modelling and …
6
(
2014
)
4
,
pp. 237-273
In recent years,
autoregressive
conditional
duration
models (ACD models) introduced by Engle and Russell in 1998 have …
Persistent link: https://www.econbiz.de/10011194515
Saved in:
2
Bayesian estimation and prediction for ACD models in the analysis of trade durations from the Polish stock market
Huptas, Roman
- In:
Central European journal of economic modelling and …
6
(
2014
)
4
,
pp. 237-273
Persistent link: https://www.econbiz.de/10010503009
Saved in:
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