Conditional Duration Model and the Unobserved Market Heterogeneity of Traders: An Infinite Mixture of Non-Exponentials
This paper extends the conditional duration model proposed by Luca & Zuccolotto (2003) proposing an infinite mixture of distributions based on non-exponentials that account for the unobserved market heterogeneity of traders. The model we propose takes into account the fact that reaction times follow...
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| Publicado no: | Revista Colombiana de Estadística |
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| Principais autores: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Universidad Nacional de Colombia
2016
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=89946455010 |
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