The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics
Year of publication: |
2013
|
---|---|
Authors: | Allen, David ; Ng, K.H. ; Peiris, Shelton |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 1, p. 117-122
|
Publisher: |
Elsevier |
Subject: | Conditional duration | High frequency data | Estimating functions | Maximum likelihood |
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