Dynamic bivarsate mixture models: Modeling the behavior of prices and trading volume

Journal of Business and Economic Statistics

Volumn 16, Issue 1, 1998, Pages 101-109

  Liesenfeld, Roman ^a  

^a UNIVERSITY OF TÜBINGEN   (Germany)

Author keywords

Importance sampling; Latent dynamic variable; Monte Carlo integration; Simulated maximum likelihood; Variance persistence of price changes

Indexed keywords

EID: 0032354179     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524739     Document Type: Article

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