Stochastic conditional duration; Threshold; Bayesian inference; Markov Chain Monte Carlo; Probability integral transform; Deviance information criterion
Markov Chain Monte Carlo; Multiscale; Auxiliary particle filter; Probability integral transform; Deviance information criterion.
Stochastic Volatility; Bayesian Inference; Markov Chain Monte Carlo; Leverage Effect; Acceptance-rejection; Slice Sampler.
Time- deformation model, Bayesian Inference, Slice sampler, Leverage effect.
Threshold, MCMC, Auxiliary particle filter, Deviance information criterion
Stochastic conditional duration, Mixture of distributions, Bayesian inference, Markov Chain Monte Carlo, Leverage effect, Slice sampler
Threshold Stochastic Volatility, Bayesian Inference, MCMC, Deviance Information Criteria
Stochastic Duration, Bayesian Inference, Markov Chain Monte Carlo, Leverage Effect, Acceptance-rejection, Slice Sampler
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