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Asymmetric stochastic conditional duration model :a mixture of normals approach

Xu, Dinghai; Knight, John L.; Wirjanto, Tony S. - 2008

Persistent link: https://www.econbiz.de/10003975376

Time-deformation modeling of stock returns directed by duration processes

Feng, Dingan; Song, Peter X.-K.; Wirjanto, Tony S. - 2008

Persistent link: https://www.econbiz.de/10003975386

Time-deformation modeling of stock returns directed by duration processes

Feng, Dingan; Song, Peter X.-K.; Wirjanto, Tony S. - In: Econometric reviews 34 (2015) 1/5, pp. 480-511

Persistent link: https://www.econbiz.de/10011373264

Bayesian analysis of asymmetric stochastic conditional duration model

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of forecasting 34 (2015) 1, pp. 36-56

Persistent link: https://www.econbiz.de/10011305352

Asymmetric stochastic conditional duration model a mixture of normal approach

Xu, Dinghai; Knight, John L.; Wirjanto, Tony S. - In: Journal of financial econometrics : official journal of … 9 (2011) 3, pp. 469-488

Persistent link: https://www.econbiz.de/10009407860

Risk aversion, uncertainty, unemployment insurance benefit and duration of "wait" unemployment

Wang, Tan; Wirjanto, Tony S. - In: Annals of economics and finance 17 (2016) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10011538690

Threshold stochastic conditional duration model for financial transaction data

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of risk and financial management : JRFM 12 (2019) 2/88, pp. 1-21

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent...

Persistent link: https://www.econbiz.de/10012022077