A Discrete-State Continuous-Time Model of Financial...

A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial: Autoregressive Conditional Duration Model

Jeffrey R. Russell and Robert F. Engle
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Volume:
23
Language:
english
Journal:
Journal of Business & Economic Statistics
DOI:
10.2307/27638809
Date:
April, 2005
File:
PDF, 2.16 MB
english, 2005
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