On the long memory autoregressive conditional duration models
In financial markets, transaction durations refer to the duration time between two consecutive trades. It is common that more frequent trades are expected to be followed by shorter durations between consecutive transactions, while less frequent trades are expected to be followed by longer durations....
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Language: | English |
| Published: |
The University of Hong Kong (Pokfulam, Hong Kong)
2014
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10722/197101 |