Regime-switching Pareto distributions for ACD models
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- Franses,Philip Hans & Dijk,Dick van, 2000.
"Non-Linear Time Series Models in Empirical Finance,"
Cambridge University Press, number 9780521779654.
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- Meitz, Mika & Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January.
- Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004.
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