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Non-monotonic hazard functions and the autoregressive conditional duration model

Gramming, Joachim and Maurer, Kai Oliver

Non-monotonic hazard functions and the autoregressive conditional duration model J5045 2000 - 2000 - 16-38 V. 03 Issue. 1

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Financial transactions data;Autoregressive conditional duration model;Hazard function;Burr Distribution;Market microstructure;Price durations;Self exciting point process;

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