20th International Congress on Modelling and Simulation, Adelaide, Australia, 1–6 December 2013 www.mssanz.org.au modsim2013 Modelling the Relationship between Duration and Magnitude of Changes in Asset Prices F. Chan - Autoregressive conditional duration - Document - PDFSEARCH.IO

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	20th International Congress on Modelling and Simulation, Adelaide, Australia, 1–6 December 2013 www.mssanz.org.au/modsim2013 Modelling the Relationship between Duration and Magnitude of Changes in Asset Prices F. Chan Add to Reading List Document Date: 2013-11-19 22:05:49 Open Document File Size: 1,15 MB Share Result on Facebook City Perth / Adelaide / / Company CBS / Russell / Rio Tinto / / Country Australia / United States / / Currency AUD / GBP / / / Facility Curtin University / / Holiday Assumption / / Organization School of Economics and Finance / International Congress / Curtin University / Australian Research Council / / / Position establishing forecast model for duration and intra-daily volatility / / ProvinceOrState Western Australia / / PublishedMedium Journal of Econometrics / / Region Western Australia / / Technology Simulation / / URL www.mssanz.org.au/modsim2013 / / SocialTag Mathematical finance Econometrics Autoregressive conditional heteroskedasticity Estimation theory Normal distribution Volatility Autoregressive conditional duration Log-normal distribution Maximum likelihood Statistics

20th International Congress on Modelling and Simulation, Adelaide, Australia, 1–6 December 2013 www.mssanz.org.au/modsim2013 Modelling the Relationship between Duration and Magnitude of Changes in Asset Prices F. Chan Add to Reading List