A discrete-state continuous-time model of financial transactions prices and times : the autoregressive conditional multinomial-autoregressive conditional duration model
Year of publication: |
2005
|
---|---|
Authors: | Russell, Jeffrey R. ; Engle, Robert F. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 23.2005, 2, p. 166-180
|
Subject: | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Modellierung | Scientific modelling | Geld-Brief-Spanne | Bid-ask spread | Aktienmarkt | Stock market | USA | United States | Autokorrelation | Autocorrelation |
-
Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel, (2011)
-
Predicting bid-ask spreads using long-memory autoregressive conditional poisson models
Groß-Klußmann, Axel, (2013)
-
Gaussian analysis of non-Gaussian time series
Kugiumtzis, Dimitris, (2010)
- More ...
-
Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim, (2010)
-
RUSSELL, JEFFREY R., (1998)
-
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
Engle, Robert F., (1998)
- More ...