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~subject:"Stochastic conditional duration"
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Stochastic conditional duration
stochastic conditional duration
10
importance sampling
6
Stochastischer Prozess
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Bayesian inference
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Kolkiewicz, Adam W.
2
Men, Zhongxian
2
Wirjanto, Tony S.
2
Galli, Fausto
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Luc, BAUWENS
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Rimini Centre for Economic Analysis (RCEA)
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Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
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Stochastic
Conditional
Duration
Models with Mixture Processes
Wirjanto, Tony S.
;
Kolkiewicz, Adam W.
;
Men, Zhongxian
-
Rimini Centre for Economic Analysis (RCEA)
-
2013
This paper studies a
stochastic
conditional
duration
(SCD) model with a mixture of distribution processes for financial …
Persistent link: https://www.econbiz.de/10010668198
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:
3
Efficient importance sampling for ML estimation of SCD models
Luc, BAUWENS
;
Galli, Fausto
-
Institut de Recherche Économique et Sociale (IRES), …
-
2007
The evaluation of the likelihood function of the
stochastic
conditional
duration
model requires to compute an integral …
Persistent link: https://www.econbiz.de/10004984871
Saved in:
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