Search Results - subject:"stochastic conditional duration"

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

Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts

Trojan, Sebastian - School of Economics and Political Science, Universität … - 2014

conditional duration (SCD) model. Estimation is with IBM stock intraday data 2001/10 (decimalization completed), taking a minimum … event time are modeled contemporaneously to fully capture volatility on the tick level, combining the SV and stochastic …

Persistent link: https://www.econbiz.de/10010886747

Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437483

Efficient importance sampling for ML estimation of SCD models

Luc, BAUWENS; Galli, Fausto - Institut de Recherche Économique et Sociale (IRES), … - 2007

The evaluation of the likelihood function of the stochastic conditional duration model requires to compute an integral …

Persistent link: https://www.econbiz.de/10004984871

Efficient importance sampling for ML estimation of SCD models

BAUWENS, Luc; GALLI, Fausto - Center for Operations Research and Econometrics (CORE), … - 2007

The evaluation of the likelihood function of the stochastic conditional duration model requires to compute an integral …

Persistent link: https://www.econbiz.de/10005008384