Author:
Allen David,Lazarov Zdravetz,McAleer Michael,Peiris Shelton
Subject
Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science
Reference25 articles.
1. Testing continuous-time models of the spot interest rate;Ajt-Sahalia;Review of Financial Studies,1996
2. D. Allen, F. Chan, M. McAleer, S. Peiris, Finite sample properties of the QMLE for the Log-ACD Model: Application to Australian Stocks Working Paper, Edith Cowan University, Australia, 2005
3. The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks;Bauwens;Annales d’Economie et de Statistique,2000
4. A comparison of financial duration models via density forecasts;Bauwens;International Journal of Forecasting,2004
5. The stochastic conditional duration model: a latent factor model for the analysis of financial durations;Bauwens;Journal of Econometrics,1999
Cited by
22 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献