Semiparametric autoregressive conditional duration model : theory and practice
Patrick W. Saart, Jiti Gao, and David E. Allen
| Year of publication: |
2015
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|---|---|
| Authors: | Saart, Patrick W. ; Gao, Jiti ; Allen, David E. |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 34.2015, 6/10, p. 849-881
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| Subject: | Dependent point process | Duration | Hazard rate and random measure | Irregularly spaced high frequency data | Semiparametric time series | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Bestandsanalyse | Duration analysis | Börsenkurs | Share price | Dauer | Schätzung | Estimation | Mikroökonometrie | Microeconometrics | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2014.956594 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011483396