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http://hdl.handle.net/11375/11092
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DC Field | Value | Language |
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dc.contributor.advisor | Balakrishnan, Narayanaswamy | en_US |
dc.contributor.author | Mayorov, Kirill | en_US |
dc.date.accessioned | 2014-06-18T16:53:34Z | - |
dc.date.available | 2014-06-18T16:53:34Z | - |
dc.date.created | 2011-08-30 | en_US |
dc.date.issued | 2011-10 | en_US |
dc.identifier.other | opendissertations/6088 | en_US |
dc.identifier.other | 7114 | en_US |
dc.identifier.other | 2204381 | en_US |
dc.identifier.uri | http://hdl.handle.net/11375/11092 | - |
dc.description.abstract | <p>In this thesis we study the Birnbaum-Saunders autoregressive conditional du- ration (BS-ACD) model. As opposed to the standard ACD model, formulated in terms of the conditional mean duration, the BS-ACD model specifies the time-varying model dynamics in terms of the conditional median duration. By means of Monte Carlo simulations, we examine the asymptotic behaviour of the maximum likelihood estimators. We then present a study of numerical efficacy of some optimization algorithms in relation to the BS-ACD model. On a practical side, we fit the BS-ACD model to samples for six securities listed on the New York Stock Exchange.</p> | en_US |
dc.subject | high-frequency data | en_US |
dc.subject | ACD model | en_US |
dc.subject | Birnbaum-Saunders distribution | en_US |
dc.subject | Statistics and Probability | en_US |
dc.subject | Statistics and Probability | en_US |
dc.title | MODELLING TRADE DURATIONS WITH THE BIRNBAUM-SAUNDERS AUTOREGRESSIVE MODEL | en_US |
dc.type | thesis | en_US |
dc.contributor.department | Mathematics and Statistics | en_US |
dc.description.degree | Master of Science (MSc) | en_US |
Appears in Collections: | Open Access Dissertations and Theses |
Files in This Item:
File | Size | Format | |
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fulltext.pdf | 1.1 MB | Adobe PDF | View/Open |
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