Autoregressive conditional duration: A new model for irregularly spaced transaction data

Econometrica

Volumn 66, Issue 5, 1998, Pages 1127-1162

  Engle, Robert F ^a   Russell, Jeffrey R ^a  

^a NONE

Author keywords

Dependent point process; High frequency data; Irregularly spaced time series data

Indexed keywords

EID: 0000373457     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2999632     Document Type: Article

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