Forecasting transaction rates : the autoregressive conditional duration model / Robert F. Engle, Jeffrey R. Russell.

By: Engle, R. F. (Robert F.)Contributor(s): Russell, Jeffrey R | National Bureau of Economic ResearchMaterial type: TextTextSeries: Working paper series (National Bureau of Economic Research) ; working paper no. 4966.Publication details: Cambridge, MA : National Bureau of Economic Research, c1994Description: [54] p. : ill. ; 22 cmSubject(s): Stocks -- Econometric models | Stochastic processes -- Econometric models | HeteroscedasticityLOC classification: HB1 | .N38 no. 4966
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Book Book University of Macedonia Library
Βιβλιοστάσιο Β (Stack Room B) 		Research Papers HB1.N38 no. 4966 (Browse shelf (Opens below)) Available 0013013316

"December 1994."

Includes bibliographical references (p. 43-45)

Supported in part by National Science Foundation. Grant SES-9122056.

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