Bayesian inference of asymmetric stochastic conditional duration models
نویسندگان
چکیده
منابع مشابه
Bayesian Inference of Asymmetric Stochastic Conditional Duration Models
This paper extends stochastic conditional duration (SCD) models for financial transaction data to allow for correlation between error processes or innovations of observed duration process and latent log duration process. Novel algorithms of Markov Chain Monte Carlo (MCMC) are developed to fit the resulting SCD models under various distributional assumptions about the innovation of the measureme...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2015
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949655.2015.1060235