A discrete-state continuous-time model of financial transactions prices and times : the autoregressive conditional multinomial-autoregressive conditional duration model
Jeffrey R. Russell; Robert F. Engle
| Year of publication: |
2005
|
|---|---|
| Authors: | Russell, Jeffrey R. ; Engle, Robert F. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 23.2005, 2, p. 166-180
|
| Subject: | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Modellierung | Scientific modelling | Geld-Brief-Spanne | Bid-ask spread | Aktienmarkt | Stock market | USA | United States | Autokorrelation | Autocorrelation |
| 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/10002781639