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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

Journal of Empirical Finance, 4(2-3): 187--212, 1997.
Authors: Robert F. Engle and Jeffrey R. Russell
URL: http://www.sciencedirect.com/science/article/B6VFG-3SX0D5B-5/1/5568568d004ad76419136a9a38261ac3
Tags: imported
| URL | BibTeX  
@article{Engle1997,
title = {Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model},
author = {Robert F. Engle and Jeffrey R. Russell},
journal = {Journal of Empirical Finance},
month = {Jun},
number = {2-3},
pages = {187--212},
url = {http://www.sciencedirect.com/science/article/B6VFG-3SX0D5B-5/1/5568568d004ad76419136a9a38261ac3},
volume = {4},
year = {1997},
keywords = {imported }
}