Stochastic volatility duration models
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- Luc Bauwens & David Veredas, 2004.
"The stochastic conditional duration model: a latent factor model for the analysis of financial durations,"
ULB Institutional Repository
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- Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc.
- Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- Darrell Duffie & Kenneth J. Singleton, 1990.
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- Monica Billio & Alain Monfort & Christian P, Robert, 1998. "The Simulated Likelihood Ratio (SLR) Method," Working Papers 98-21, Centre de Recherche en Economie et Statistique.
- Christian Gourieroux & Joanna Jasiak, 1999.
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"A Generalization of Automobile Insurance Rating Models: the Negative Binomial Distribution with a Regression Component,"
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8833, Universite de Montreal, Departement de sciences economiques.
- Dionne, G. & Vanasse, C., 1988. "A Generalization Of Automobile Insurance Rating Models: The Negative Binomial Distribution With A Regression Component," Cahiers de recherche 8833, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
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