A multiscale stochastic conditional duration model
Zhongxian Men, Tony S. Wirjanto, Adam W. Kolkiewicz
| Year of publication: |
December 2016
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|---|---|
| Authors: | Men, Zhongxian ; Wirjanto, Tony S. ; Kolkiewicz, Adam W. |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 11.2016, 4, p. 1-28
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| Subject: | Markov chain Monte Carlo | multiscale | auxiliary particle filter | probability integral transform | deviance information criterion | Markov-Kette | Markov chain | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Bayes-Statistik | Bayesian inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495216500202 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686872