Bayesian estimation and prediction for ACD models in the analysis of trade durations from the Polish stock market
Roman Huptas
| Year of publication: |
2014
|
|---|---|
| Authors: | Huptas, Roman |
| Published in: |
Central European journal of economic modelling and econometrics. - Lodz : Polish Academy of Sciences, ISSN 2080-0886, ZDB-ID 2529553-6. - Vol. 6.2014, 4, p. 237-273
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| Subject: | autoregressive conditional duration model (ACD model) | trade durations | financial market microstructure | Bayesian inference | Börsenkurs | Share price | Bayes-Statistik | Schätzung | Estimation | Marktmikrostruktur | Market microstructure | Aktienmarkt | Stock market | Dauer | Duration | Polen | Poland | Schätztheorie | Estimation theory | Finanzmarkt | Financial market | Statistische Bestandsanalyse | Duration analysis | Zeitreihenanalyse | Time series analysis | Wertpapierhandel | Securities trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010503009