Abstract:This paper adapts Hamiltonian Monte Carlo methods for application in log-symmetric autoregressive conditional duration models. These recent models are based on a class of log-symmetric distributions. In this class, it is possible to model both median and skewness of the duration time distribution. We use the Bayesian approach to estimate the model parameters of some log-symmetric autoregressive conditional duration models and evaluate their performance using a Monte Carlo simulation study. The usefulness of th… Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.