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The stochastic conditional duration model: a latent variable model for the analysis of financial durations
Bauwens, Luc; Veredas, David - In: Journal of econometrics 119 (2004) 2, pp. 381-412
Persistent link: https://www.econbiz.de/10006757702
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The stochastic conditional duration model : a latent variable model for the analysis of financial durations
Bauwens, Luc; Veredas, David - In: Journal of econometrics 119 (2004) 2, pp. 381-412
Persistent link: https://www.econbiz.de/10001956340
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Latest developments on heavy-tailed distributions
Paolella, Marc; Renault, Eric; Samorodnitsky, Gennady; … - In: Journal of econometrics 172 (2013) 2, pp. 183-185
Persistent link: https://www.econbiz.de/10010063346
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One-step R-estimation in linear models with stable errors
Hallin, Marc; Swan, Yvik; Verdebout, Thomas; Veredas, David - In: Journal of econometrics 172 (2013) 2, pp. 195-204
Persistent link: https://www.econbiz.de/10010063348
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The method of simulated quantiles
Dominicy, Yves; Veredas, David - In: Journal of econometrics 172 (2013) 2, pp. 235-247
Persistent link: https://www.econbiz.de/10010063351
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Market liquidity as dynamic factors
Hallin, Marc; Mathias, Charles; Pirotte, Hugues; … - In: Journal of econometrics 163 (2011) 1, pp. 42-51
Persistent link: https://www.econbiz.de/10009017644
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Estimation of stable distributions by indirect inference
Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-338
Persistent link: https://www.econbiz.de/10008877460
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Estimation of stable distributions by indirect inference
Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-337
Persistent link: https://www.econbiz.de/10009242117
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The method of simulated quantiles
Dominicy, Yves; Veredas, David - In: Journal of econometrics 172 (2013) 2, pp. 235-247
Persistent link: https://www.econbiz.de/10009706206
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One-step R-estimation in linear models with stable errors
Hallin, Marc; Swan, Yvik; Verdebout, Thomas; Veredas, David - In: Journal of econometrics 172 (2013) 2, pp. 195-204
Persistent link: https://www.econbiz.de/10009706209