Sandra Vuletic

Johann Wolfgang Goethe University - University of Frankfurt

Institute for Statistics and Econometrics

Mertonstr. 17

60054 Frankfurt

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

815

SSRN CITATIONS
Rank 39,672

SSRN RANKINGS

Top 39,672

in Total Papers Citations

0

CROSSREF CITATIONS

14

Scholarly Papers (3)

1.

The Markov Switching Acd Model

Johann Wolfgang Goethe-University, Finance & Accounting Working Paper No. 90
Number of pages: 45 Posted: 08 Nov 2002
Reinhard Hujer, Sandra Vuletic and Stefan Kokot
University of Frankfurt, Johann Wolfgang Goethe University - University of Frankfurt and Arcor AG & Co. KG
Downloads 597 (45,296)
Citation 10

Abstract:

Loading...

Financial transaction data, autoregressive conditional duration models, nonlinear time series models, finite mixture distributions, Markov switching models, EM algorithm, market microstructure theory

2.

Econometric Analysis of Financial Trade Processes by Discrete Mixture Duration Models

Number of pages: 38 Posted: 05 Aug 2005
Reinhard Hujer and Sandra Vuletic
University of Frankfurt and Johann Wolfgang Goethe University - University of Frankfurt
Downloads 128 (226,942)
Citation 4

Abstract:

Loading...

Mixture models, duration models, financial transaction data, market microstructure

3.

The Regime Switching Acd Framework: The Use of the Comprehensive Family of Distributions

Number of pages: 24 Posted: 05 Aug 2005
Reinhard Hujer and Sandra Vuletic
University of Frankfurt and Johann Wolfgang Goethe University - University of Frankfurt
Downloads 90 (290,103)
Citation 3

Abstract:

Loading...

Mixture models, duration models, financial transaction data