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Toward a Bayesian Inference of Time-Deformation Models Some Simulation Studies
TS Wirjanto, Z Men - Available at SSRN 2241194, 2013 - papers.ssrn.com
… This paper focuses on simulation-based inference for the time-deformation models directed by a duration process. In order to describe the heavy tail property of the time series of …
Link to paper
… This paper focuses on simulation-based inference for the time-deformation models directed by a duration process. In order to describe the heavy tail property of the time series of …