Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
Year of publication: |
2019
|
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Authors: | Blasques, Francisco ; Hol´y, Vladimír ; Tomanová, Petra |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Financial High-Frequency Data | Autoregressive Conditional Duration Model | Zero-Inflated Negative Binomial Distribution | Generalized Autoregressive Score Model |
Series: | Tinbergen Institute Discussion Paper ; TI 2019-004/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1046419889 [GVK] hdl:10419/205294 [Handle] RePEc:tin:wpaper:20190004 [RePEc] |
Classification: | C22 - Time-Series Models ; C41 - Duration Analysis ; c58 |
Source: |
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Blasques, Francisco, (2019)
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