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 fo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad Nacional de Colombia
2016-07-01
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| Series: | Revista Colombiana de Estadística |
| Subjects: | |
| Online Access: | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512016000200009&lng=en&tlng=en |