Conditional Duration Model and Unobserved Market Heterogeneity of Traders. An Infinite Mixture of Non–Exponentials

DOI10.15446/RCE.V39N2.51584zbMath1435.62423OpenAlexW2505926352MaRDI QIDQ5114083

Jorge V. Pérez-Rodríguez, Emilio Gómez-Déniz

Publication date: 21 June 2020

Published in: Revista Colombiana de Estadística (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15446/rce.v39n2.51584

zbMATH Keywords

exponential distribution heterogeneity gamma distribution autoregressive conditional duration model reciprocal inverse Gaussian distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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