A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model
| Year of publication: |
2005
|
|---|---|
| Authors: | Russell, Jeffrey R. ; Engle, Robert F. |
| Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 23.2005, April, p. 166-180
|
| Publisher: |
American Statistical Association |
| Extent: | application/pdf |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005238417