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Published in Journal of financial economics (01.07.2012)
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Threshold stochastic conditional duration model for financial transaction data
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Multiscale stochastic volatility model with heavy tails and leverage effects
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Published in Journal of risk and financial management (01.05.2021)
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Bayesian Analysis of a Threshold Stochastic Volatility Model
Wirjanto, Tony S., Kolkiewicz, Adam W., Men, Zhongxian
Published in Journal of forecasting (01.08.2016)
Published in Journal of forecasting (01.08.2016)
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Bayesian inference of asymmetric stochastic conditional duration models
Men, Zhongxian, Kolkiewicz, Adam W., Wirjanto, Tony S.
Published in Journal of statistical computation and simulation (02.05.2016)
Published in Journal of statistical computation and simulation (02.05.2016)
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Bayesian Analysis of Asymmetric Stochastic Conditional Duration Model
Men, Zhongxian, Kolkiewicz, Adam W., Wirjanto, Tony S.
Published in Journal of forecasting (01.01.2015)
Published in Journal of forecasting (01.01.2015)
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