An empirical model for durations in stocks
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- Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
More about this item
KeywordsFinance; Multivariate; Transaction data; Market microstructure; Granger causality; C12; C32; C41; G14;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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