Modeling high-frequency financial data using R and Stan: A bayesian autoregressive conditional duration approach

Modeling high-frequency financial data using R and Stan: A bayesian autoregressive conditional duration approach

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets. In th...

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Bibliographic Details
Main Authors: Mosab I. Tabash, T. Muhammed Navas, P.V. Thayyib, Shazia Farhin, Athar Ali Khan, Azzam Hannoon
Format: Article
Language:English
Published: Elsevier 2024-06-01
Series:Journal of Open Innovation: Technology, Market and Complexity
Subjects:
Bayesian Inference
Markov Chain Monte Carlo
MCMC
Weibull ACD
WACD
Log Weibull ACD
Online Access:http://www.sciencedirect.com/science/article/pii/S219985312400043X

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http://www.sciencedirect.com/science/article/pii/S219985312400043X

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