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  • 1-6 ل  6 نتائج ل ""Conditional duration""

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Collection : Mdpi Open Access Publishing
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Academic Journal

Threshold Stochastic Conditional Duration Model for Financial Transaction Data

Subjects: stochastic conditional duration; threshold; Bayesian inference

  • Source: Journal of Risk and Financial Management; Volume 12; Issue 2; Pages: 88

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Academic Journal

Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information

Subjects: Bayesian inference; Markov chain Monte Carlo; Metropolis–Hastings algorithm

  • Source: Journal of Risk and Financial Management; Volume 15; Issue 10; Pages: 470

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Academic Journal

A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data

Subjects: generalized Birnbaum–Saunders distributions; ACD models; Box-Cox transformation

  • Source: Journal of Risk and Financial Management; Volume 13; Issue 3; Pages: 45

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Academic Journal

Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution

Subjects: autoregressive conditional duration; two-component model; extended generalised inverse Gaussian

  • Source: Mathematics; Volume 10; Issue 10; Pages: 1621

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Academic Journal

Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility

Subjects: autoregressive conditional duration model; high-frequency data; integrated volatility

  • Source: Econometrics; Volume 5; Issue 4; Pages: 51

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Academic Journal

Bitcoin Price Risk—A Durations Perspective

Subjects: bitcoin; duration; risk

  • Source: Journal of Risk and Financial Management; Volume 13; Issue 7; Pages: 157

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  • 1-6 ل  6 نتائج ل ""Conditional duration""