Toyabe, Tomoki; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25
conditional duration (SCD) model to capture the pattern of intraday trading intervals and propose a new Markov chain Monte Carlo … method to estimate this intraday seasonality simultaneously. To efficiently generate the Monte Carlo sample, we used a hybrid …