5 The North Colonnade
London, Canary Wharf E14 4BB
Barclays Investment Bank
in Total Papers Downloads
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High-frequency data, price durations, proportional hazard model, intraday and time-to-maturity seasonalities
autoregressive duration models, dynamic ordered response models, generalized residuals, censoring
buy and sell arrival process, order book information, market depth, bivariate autoregressive intensity model, net buy pressure
autoregressive duration models, dynamic ordered response models, generalised residuals, censoring
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