Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
Francisco Blasques, Vladimír Holý and Petra Tomanová
| Year of publication: |
2024
|
|---|---|
| Authors: | Blasques, Francisco ; Holý, Vladimír ; Tomanová, Petra |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 5, p. 673-702
|
| Subject: | autoregressive conditional duration model | financial high-frequency data | generalized autoregressive score model | zero-inflated negative binomial distribution | Theorie | Theory | Dauer | Duration | Statistische Bestandsanalyse | Duration analysis | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Autokorrelation | Autocorrelation | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2022-0008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015437638