Estimating and simulating Weibull models of risk or price durations: An application to ACD models
Year of publication: |
2013
|
---|---|
Authors: | Allen, David ; Ng, K.H. ; Peiris, Shelton |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 25.2013, C, p. 214-225
|
Publisher: |
Elsevier |
Subject: | Autoregressive conditional duration | Estimating functions | Maximum likelihood | Quasi Maximum likelihood | Weibull distribution |
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