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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
Home
Publications
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
RE
Robert F. Engle
Robert F. Engle
JR
Jeffrey R. Russell
Jeffrey R. Russell
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1 September 1998
journal article
Published by
JSTOR
in
Econometrica
Vol. 66
(5)
,
1127
https://doi.org/10.2307/2999632
Abstract
No abstract available
Cited by 1140 articles