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Duration models, heterogeneous beliefs, and optimal trading

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  • van der Heijden, T.G.E.

    (Tilburg University, School of Economics and Management)

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  • van der Heijden, T.G.E., 2011. "Duration models, heterogeneous beliefs, and optimal trading," Other publications TiSEM e57c0a0d-7c6a-4bc1-95b3-7, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:e57c0a0d-7c6a-4bc1-95b3-7e8c94a5b238
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    References listed on IDEAS

    as
    1. Jiang Wang, 1993. "A Model of Intertemporal Asset Prices Under Asymmetric Information," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(2), pages 249-282.
    2. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
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