A Comparison Of Financial Duration Models Via Density Forecasts (2000)
by
Luc Bauwens
,
Pierre GIOT
,
Joachim Grammig
,
David VEREDAS
| Citations: | 12 - 3 self |
BibTeX
@MISC{Bauwens00acomparison,
author = {Luc Bauwens and Pierre GIOT and Joachim Grammig and David VEREDAS},
title = {A Comparison Of Financial Duration Models Via Density Forecasts},
year = {2000}
}
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Abstract
Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets.
