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Auxiliary particle filter
stochastic conditional duration
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importance sampling
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Kolkiewicz, Adam W.
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Men, Zhongxian
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Wirjanto, Tony S.
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Rimini Centre for Economic Analysis (RCEA)
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1
Bayesian Inference of Multiscale
Stochastic
Conditional
Duration
Models
Men, Zhongxian
;
Wirjanto, Tony S.
;
Kolkiewicz, Adam W.
-
Rimini Centre for Economic Analysis (RCEA)
-
2013
proposes multiscale
stochastic
conditional
duration
(MSCD) models to describe the dynamics of financial transaction data. Novel …
Persistent link: https://www.econbiz.de/10010728019
Saved in:
2
A Threshold
Stochastic
Conditional
Duration
Model for Financial Transaction Data
Men, Zhongxian
;
Wirjanto, Tony S.
;
Kolkiewicz, Adam W.
-
Rimini Centre for Economic Analysis (RCEA)
-
2013
This paper proposes a threshold
stochastic
conditional
duration
(TSCD) model to capture the asymmetric property of …
Persistent link: https://www.econbiz.de/10010668203
Saved in:
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