A Threshold Stochastic Conditional Duration Model for Financial Transaction Data
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- Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013. "Bayesian Inference of Multiscale Stochastic Conditional Duration Models," Working Paper series 63_13, Rimini Centre for Economic Analysis.
More about this item
KeywordsStochastic conditional duration; Threshold; Markov Chain Monte Carlo; Auxiliary particle filter; Deviance information criterion;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-05 (All new papers)
- NEP-ECM-2013-07-05 (Econometrics)
- NEP-ETS-2013-07-05 (Econometric Time Series)
- NEP-FOR-2013-07-05 (Forecasting)
- NEP-ORE-2013-07-05 (Operations Research)
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