19-004/III - Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros

• Authors
  Francisco Blasques, VU University Amsterdam; Vladimir Holy, University of Economics Prague; Petra Tomanova, University of Economics Prague
• Publication date
  January 11, 2019

• Keywords
  Financial High-Frequency Data, Autoregressive Conditional Duration Model, Zero-Inflated Negative Binomial Distribution, Generalized Autoregressive Score Model
• JEL
  C22, C41, C58