Forecasting trade durations via ACD models with mixture distributions

DOI10.1080/14697688.2019.1618896zbMath1441.62270OpenAlexW2958062433WikidataQ127545968 ScholiaQ127545968MaRDI QIDQ5120735

Rasika Pushpamali Yatigammana, Jennifer So-Kuen Chan, Richard H. Gerlach

Publication date: 16 September 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1618896

zbMATH Keywords

Bayesian inferencemixture distributionACD modelsgeneralised beta type 2 distributionCTaRTaT

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Uses Software

• FinTS

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