Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market
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More about this item
Keywords
autoregressive conditional duration model (ACD model); trade durations; financial market microstructure; Bayesian inference;All these keywords.
JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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