Threshold Stochastic Conditional Duration Model for Financial Transaction Data
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- Yiu-Kuen Tse, 2019. "Editorial for the Special Issue on Financial Econometrics," JRFM, MDPI, vol. 12(3), pages 1-2, September.
- Bentes, Sónia R., 2021. "On the hysteresis of financial crises in the US: Evidence from S&P 500," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
- Emilio Abad-Segura & Mariana-Daniela González-Zamar, 2020. "Global Research Trends in Financial Transactions," Mathematics, MDPI, vol. 8(4), pages 1-32, April.
- Thanasis Stengos, 2020. "Recent Advancements in Section “Economics and Finance”," JRFM, MDPI, vol. 13(11), pages 1-2, November.
- Isuru Ratnayake & V. A. Samaranayake, 2022. "Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model," Papers 2202.03351, arXiv.org, revised Mar 2022.
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Keywords
stochastic conditional duration; threshold; Bayesian inference; Markov-Chain Monte Carlo; probability integral transform; deviance information criterion;All these keywords.
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