Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments
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DOI: 10.1007/s10614-017-9692-6
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More about this item
Keywords
Duration modeling; Mixed hitting time; Market microstructure; Conditional characteristic function;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
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