On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
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Publication:5222480
DOI10.1080/00949655.2015.1107908OpenAlexW2397514473MaRDI QIDQ5222480
Sarah Forstinger, Christian Peitz, Yuanhua Feng
Publication date: 1 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: http://groups.uni-paderborn.de/fiwi/RePEc/pdf/wpaper/WP66.pdf
simulationlocal linear estimatorcubic splineautoregressive conditional durationdiurnal duration patternsiterative plug-in
Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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