Search Results - subject:"ACD models"

A general family of autoregressive conditional duration models applied to high-frequency financial data

Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of Risk and Financial Management 13 (2020) 3, pp. 1-20

) models based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD … of the GBS-ACD models. Finally, an illustration of the proposed models is made by using New York stock exchange (NYSE …In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD …

Persistent link: https://www.econbiz.de/10012611276

A general family of autoregressive conditional duration models applied to high-frequency financial data

Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of risk and financial management : JRFM 13 (2020) 3/45, pp. 1-20

In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models … based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models … of the GBS-ACD models. Finally, an illustration of the proposed models is made by using New York stock exchange (NYSE …

Persistent link: https://www.econbiz.de/10012174138

Market depth at the BM&FBovespa

Barros, Carlos Felipe; Fernandes, Marcelo - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 1, pp. 25-44

Persistent link: https://www.econbiz.de/10011538682

A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach

Bień-Barkowska, Katarzyna - In: Central European Journal of Economic Modelling and … 4 (2012) 2, pp. 117-142

In this paper we present a copula-based model for a binary and a continuous variable in a time series setup. Within this modeling framework both marginals can be equipped with their own dynamics whereas the contemporaneous dependence between both processes can be flexibly captured via a copula...

Persistent link: https://www.econbiz.de/10010875630

The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy

Sol Murta, Fatima - In: Brussels Economic Review 50 (2007) 3, pp. 285-314

The study of the determination of the overnight interest rate in the interbank market, and the behaviour of its volatility, gained new insights with contributions from the microstructure theory. The aim of this article is to study the effect of the trade intensity over the volatility of the...

Persistent link: https://www.econbiz.de/10008868092

Irregularly Spaced Intraday Value at Risk (ISIVaR) Models : Forecasting and Predictive Abilities

Hurlin, Christophe; Colletaz, Gilbert; Tokpavi, Sessi - HAL - 2007

The objective of this paper is to propose a market risk measure defined in price event time and a suitable backtesting procedure for irregularly spaced data. Firstly, we combine Autoregressive Conditional Duration models for price movements and a non parametric quantile estimation to derive a...

Persistent link: https://www.econbiz.de/10008794217

Modelling Financial High Frequency Data Using Point Processes

Luc, BAUWENS; Nikolaus, HAUTSCH - Institut de Recherche Économique et Sociale (IRES), … - 2006

In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on...

Persistent link: https://www.econbiz.de/10004984822

Modelling financial high frequency data using point processes

BAUWENS, Luc; HAUTSCH, Nikolaus - Center for Operations Research and Econometrics (CORE), … - 2006

Persistent link: https://www.econbiz.de/10005043712

Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns

Brownlees, Christian T.; Gallo, Giampiero - Dipartimento di Statistica, Informatica, Applicazioni … - 2006

context of financial durations ACD models. …

Persistent link: https://www.econbiz.de/10005075727

Evaluating the Liquidity of Stocks using Transaction Data

Ivanchuk, Nataliya - 2004

In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows beyond the walls of the academia, as the security exchanges recognize the importance of the concept and plan to adopt unique measures of liquidity and publish them in the...

Persistent link: https://www.econbiz.de/10009471789