A nonlinear autoregressive conditional duration model with applications to financial transaction data

Author:

Zhang Michael Yuanjie,Russell Jeffrey R.,Tsay Ruey S.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference37 articles.

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4. Bai, X., Russell, J.R., Tiao, G.C., 1999. Beyond Merton's Utopia; effects of non-normality and dependence on the precision of variance estimates using high-frequency financial data. Working Paper, Graduate School of Business, University of Chicago.

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