A nonlinear autoregressive conditional duration model with applications to financial transaction data
| Year of publication: |
2001
|
|---|---|
| Authors: | Zhang, Michael Yuanjie ; Russell, Jeffrey R. ; Tsay, Ruey S. |
| Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 104.2001, 1, p. 179-207
|
| Publisher: |
Elsevier |