Bayesian analysis of the stochastic conditional duration model

Autoria(s): Strickland, Christopher; Forbes, Catherine; Martin, Gael
Data(s)

2006
Identificador

http://eprints.qut.edu.au/44387/
Publicador

Elsevier BV
Relação

DOI:10.1016/j.csda.2005.07.005

Strickland, Christopher, Forbes, Catherine, & Martin, Gael (2006) Bayesian analysis of the stochastic conditional duration model. Computational Statistics & Data Analysis, 50(9), pp. 2247-2267.
Palavras-Chave #010400 STATISTICS #080200 COMPUTATION THEORY AND MATHEMATICS #Transaction Data, Latent Variable Model, Non-Gaussian State Space Model, Markov Chain Monte Carlo, Kalman Filter and Simulation Smoother
Tipo

Journal Article
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