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lambda_min
2012 Feb 21
0
BHHH algorithm on duration time models for stock prices
...lusless1)-sum((lambda.plus)*Iplusless1*x_new)
sum(Iplus_new*Iminusless1)-sum((lambda.plus)*Iminusless1*x_new)
sum(Iminus_new*Iplusless1)-sum((lambda.minus)*Iminusless1*x_new)
sum(Iminus_new*Iminusless1)-sum((lambda.minus)*Iminusless1*x_new)
}
In this codes the variables are Iplus_new, lambda.plus, lambda_minus, Iminus_new , Iminusless1 and Iplusless1. The variables x_new is the duration between two bid-ask occurring at times t_(i-1) and t_i. i.e. x_new=t_i -t_i-1. There are several observations for x_new. The Iplus_new and Iminus_new are the indicator variable showing whether the price was increasing...