Marina Vannucci

Rice University

6100 South Main Street

Houston, TX 77005-1892

United States

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A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series

Number of pages: 32 Posted: 09 Feb 2010 Last Revised: 27 Nov 2012
Christian T. Brownlees and Marina Vannucci
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Rice University
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Abstract:

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Financial Durations, ACD, MCMC