Bayesian Analysis of Inverse Gaussian Stochastic Conditional Duration Model
نویسندگان
چکیده
منابع مشابه
Bayesian analysis of the stochastic conditional duration model
A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of durations having positive support. Regressors are included in the latent process model in order to allow for additional variables to impact on durat...
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ژورنال
عنوان ژورنال: Journal of Statistical Theory and Applications
سال: 2019
ISSN: 2214-1766
DOI: 10.2991/jsta.d.191031.001