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Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information.

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Bibliographic Details
Title: Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information.
Authors: Toyabe, Tomoki1 toyabet.fac.econ@keio.jp, Nakatsuma, Teruo2
Source: Journal of Risk & Financial Management. Oct2022, Vol. 15 Issue 10, p470-N.PAG. 25p.
Database: Business Source Ultimate
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Description
ISSN:19118066
DOI:10.3390/jrfm15100470