Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
| Year of publication: |
1998
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| Authors: | Engle, Robert F. ; Russell, Jeffrey R. |
| Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Verlagsorte], ISSN 0012-9682, ZDB-ID 1798x. - Vol. 66.1998, 5, p. 1127-1162
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