Mixture inverse Gaussian for unobserved heterogeneity in the autoregressive conditional duration model

DOI10.1080/03610926.2016.1200094zbMath1377.62211OpenAlexW2511074516MaRDI QIDQ4588891

Emilio Gómez-Déniz, Jorge V. Pérez-Rodríguez

Publication date: 3 November 2017

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1200094

zbMATH Keywords

inverse Gaussian distributionautoregressive conditional duration modelfinite mixtures

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory of statistical distributions (62E10)

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