A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series

DOI10.1515/snde-2012-0043zbMath1506.62399OpenAlexW3125762519MaRDI QIDQ5881673

Christian Brownlees, Marina Vannucci

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0043

zbMATH Keywords

MCMCACDfinancial durations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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