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Discrete Mixtures of Normal
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Empirical Characteristic Function
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Stochastic Conditional Duration model
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Knight, John
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Asymmetric
Stochastic
Conditional
Duration
Model
--A Mixture of Normals Approach"
Xu, Dinghai
;
Knight, John
;
Wirjanto, Tony S.
-
Department of Economics, University of Waterloo
-
2008
This paper extends the
stochastic
conditional
duration
model
by imposing mixtures of bivariate normal distributions on …
Persistent link: https://www.econbiz.de/10005543349
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