Inverse Gaussian Distribution for Modeling Conditional Durations in Finance
Author:
Affiliation:
1. Department of Statistics Cochin University of Science and Technology, Cochin 682022 Kerala, India
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610918.2012.705938
Reference11 articles.
1. Efficient importance sampling for ML estimation of SCD models
2. The stochastic conditional duration model: a latent variable model for the analysis of financial durations
3. The Inverse Gaussian Distribution as a Lifetime Model
4. Non‐monotonic hazard functions and the autoregressive conditional duration model
5. Bayesian Analysis of Stochastic Volatility Models
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