Bayesian Analysis of Inverse Gaussian Stochastic Conditional Duration Model

Abstract

This paper discusses Bayesian analysis of stochastic conditional duration model when the innovations follow inverse Gaussian distribution. Estimation is carried out by the methods of Markov Chain Monte Carlo. Applications of the model and methods are illustrated through simulation and data analysis.

Keywords

• Stochastic conditional duration
• Bayesian analysis
• Markov Chain Monte Carlo
• Inverse Gaussian distribution
• Slice sampler