Bayesian inference for the log-symmetric autoregressive conditional duration model

Bayesian inference for the log-symmetric autoregressive conditional duration model

Abstract This paper adapts Hamiltonian Monte Carlo methods for application in log-symmetric autoregressive conditional duration models. These recent models are based on a class of log-symmetric distributions. In this class, it is possible to model both median and skewness of the duration time distri...

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Bibliographic Details
Main Authors: JEREMIAS LEÃO, RAFAEL PAIXÃO, HELTON SAULO, THEMIS LEAO
Format: Article
Language:English
Published: Academia Brasileira de Ciências 2021-10-01
Series:Anais da Academia Brasileira de Ciências
Subjects:
ACD models
Bayesian inference
high frequency financial data
log-symmetric distributions
Online Access:http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0001-37652021000700305&tlng=en

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