Bayesian analysis of the stochastic conditional duration model
Strickland, Christopher, Forbes, Catherine, & Martin, Gael (2006) Bayesian analysis of the stochastic conditional duration model. Computational Statistics & Data Analysis, 50(9), pp. 2247-2267.
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|Item Type:||Journal Article|
|Keywords:||Transaction Data, Latent Variable Model, Non-Gaussian State Space Model, Markov Chain Monte Carlo, Kalman Filter and Simulation Smoother|
|Subjects:||Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400)
Australian and New Zealand Standard Research Classification > INFORMATION AND COMPUTING SCIENCES (080000) > COMPUTATION THEORY AND MATHEMATICS (080200)
|Deposited On:||24 Aug 2011 22:11|
|Last Modified:||29 Feb 2012 13:30|
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