Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market
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References listed on IDEAS
- Bauwens, Luc & Veredas, David, 2004.
"The stochastic conditional duration model: a latent variable model for the analysis of financial durations,"
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More about this item
Keywordsduration; high frequency data; electronic futures markets;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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