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Bayesian analysis of asymmetric stochastic conditional duration model

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of forecasting 34 (2015) 1, pp. 36-56

Persistent link: https://www.econbiz.de/10011305352

Bayesian analysis of a threshold stochastic volatility model

Wirjanto, Tony S.; Kolkiewicz, Adam W.; Men, Zhongxian - In: Journal of forecasting 35 (2016) 5, pp. 462-476

Persistent link: https://www.econbiz.de/10011580989

A new variant of estimation approach to asymmetric stochastic volatility model

Men, Zhongxian; Wirjanto, Tony S. - In: Quantitative finance and economics 2 (2018) 2, pp. 325-347

Persistent link: https://www.econbiz.de/10012156644

Threshold stochastic conditional duration model for financial transaction data

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of risk and financial management : JRFM 12 (2019) 2/88, pp. 1-21

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent...

Persistent link: https://www.econbiz.de/10012022077