Explanation of power law behavior of autoregressive conditional duration processes based on the random multiplicative process

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 69, Issue 4 2, 2004, Pages

  Sato, Aki Hiro ^a  

^a KYOTO UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; ESTIMATION; LARGE SCALE SYSTEMS; MATHEMATICAL MODELS; NUMERICAL METHODS; POISSON EQUATION; PROBABILITY DENSITY FUNCTION; REGRESSION ANALYSIS;

AUTOREGRESSIVE CONDITIONAL DURATION (ACD) PROCESSES; CUMULATIVE DISTRIBUTION FUNCTIONS (CDF); POWER LAW DISTRIBUTIONS; RANDOM MULTIPLICATIVE PROCESSES (RMP);

RANDOM PROCESSES;

EID: 37649027485     PISSN: 15393755     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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