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...
Αποθηκεύτηκε σε:
| Εκδόθηκε σε: | Revista Colombiana de Estadística |
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| Κύριοι συγγραφείς: | , |
| Μορφή: | Artigo |
| Γλώσσα: | Inglês |
| Έκδοση: |
Universidad Nacional de Colombia
2016
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| Θέματα: | |
| Διαθέσιμο Online: | https://www.redalyc.org/articulo.oa?id=89946455010 |
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