The stochastic conditional duration model: A latent variable model for the analysis of financial durations

Journal of Econometrics

Volumn 119, Issue 2, 2004, Pages 381-412

  Bauwens, Luc ^a   Veredas, David ^b,c  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b TILBURG UNIVERSITY   (Netherlands)

^c CORE ^*  (Belgium)

Author keywords

Duration; Hazard function; Latent variable model; Market microstructure

Indexed keywords

COMMERCE; FUNCTIONS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; REGRESSION ANALYSIS; STOCHASTIC CONTROL SYSTEMS;

DURATION; HAZARD FUNCTIONS; LATENT VARIABLE MODEL; MARKET MICROSTRUCTURE;

FINANCE;

EID: 1642443326     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00201-X     Document Type: Conference Paper

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