On a quantile autoregressive conditional duration model
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Publication:2079346
DOI10.1016/j.matcom.2022.06.032OpenAlexW4284887374MaRDI QIDQ2079346
Helton Saulo, Roberto Vila, Narayanaswamy Balakrishnan
Publication date: 29 September 2022
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.03844
conditional quantileMonte Carlo simulationECM algorithmfinancial transaction dataskewed Birnbaum-Saunders distribution
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Uses Software
Cites Work
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