Econometrics of high frequency data and nonnegative valued financial point processes
Econometrics of high frequency data and nonnegative valued financial point process is addressed in an Autoregressive Conditional Duration (ACD) and Multiplicative Error Model (MEM). The basic idea is to model the nonnegative valued point process in terms of the product of a scale factor and an innov...
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Cardiff University
2013
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.569947 |