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19-004/III - Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros


  • Authors
    Francisco Blasques, VU University Amsterdam; Vladimir Holy, University of Economics Prague; Petra Tomanova, University of Economics Prague
  • Publication date
    January 11, 2019
  • Keywords
    Financial High-Frequency Data, Autoregressive Conditional Duration Model, Zero-Inflated Negative Binomial Distribution, Generalized Autoregressive Score Model
  • JEL
    C22, C41, C58