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Search: subject:"Autoregressive Conditional Duration"
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Schätzung
29
Estimation
28
Time series analysis
27
Zeitreihenanalyse
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Börsenkurs
23
Share price
22
Theorie
21
Statistische Bestandsanalyse
20
Theory
20
Autoregressive conditional duration
19
Duration
19
Duration analysis
19
Market microstructure
19
Dauer
18
autoregressive conditional duration
17
ARCH model
14
ARCH-Modell
14
Autokorrelation
14
Autoregressive Conditional Duration
14
Autocorrelation
13
Estimation theory
13
Marktmikrostruktur
13
Schätztheorie
13
Autoregressive conditional duration model
9
Risikomaß
8
USA
8
United States
8
Volatility
8
Risk measure
7
Volatilität
7
market microstructure
7
Aktienmarkt
5
Deutschland
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Financial market
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Free
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Article
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Blasques, Francisco
8
Koopman, Siem Jan
6
Lucas, André
6
Tse, Yiu Kuen
6
Herrera, Rodrigo
5
Dong, Yingjie
4
Grammig, Joachim
4
Lanne, Markku
4
Peitz, Christian
4
Tse, Yiu-Kuen
4
Feng, Yuanhua
3
Jokivuolle, Esa
3
Lasak, Katarzyna
3
Schipp, Bernhard
3
Tay, Anthony
3
Ting, Christopher
3
Tomanová, Petra
3
Warachka, Mitch
3
Łasak, Katarzyna
3
Bowe, Michael
2
Cavaliere, Giuseppe
2
Diana, Tony
2
Forstinger, Sarah
2
Gallo, Giampiero
2
González, Nicolás
2
Holý, Vladimír
2
Hujer, Reinhard
2
Huptas, Roman
2
Hyde, Stuart
2
Kokot, Stefan
2
Liu, Shouwei
2
Luca, Giovanni De
2
Manganelli, Simone
2
Małecka, Marta
2
McFarlane, Lavern
2
Pacurar, Maria
2
Peiris, Shelton
2
Pohlmeier, Winfried
2
Rahbek, Anders
2
Wellner, Marc
2
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School of Economics, Singapore Management University
4
Department Volkswirtschaftslehre, Fachbereich für Wirtschaftswissenschaften
2
Center for Applied Economics and Policy Research (CAEPR), Department of Economics
1
Department of Economics, Oxford University
1
Department of Economics, University of California-San Diego (UCSD)
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Department of Economics, University of Waterloo
1
East Asian Bureau of Economic Research (EABER)
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EconWPA
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European Central Bank
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Institut ekonomických studií, Univerzita Karlova v Praze
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Society for Computational Economics - SCE
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Springer Fachmedien Wiesbaden
1
Suomen Pankki
1
Technische Universität Dresden
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Tinbergen Instituut
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Journal of econometrics
4
Working Papers / School of Economics, Singapore Management University
4
Discussion paper / Tinbergen Institute
3
Journal of empirical finance
3
Studies in Nonlinear Dynamics & Econometrics
3
Tinbergen Institute Discussion Paper
3
Econometrics
2
International Journal of Forecasting
2
International journal of forecasting
2
Journal of Empirical Finance
2
Working Papers CIE
2
Annals of Financial Economics (AFE)
1
Annals of financial economics
1
Bank of Finland Discussion Papers
1
Bank of Finland research discussion papers
1
Berichte aus der Volkswirtschaft
1
CIE working paper series
1
Caepr Working Papers
1
Central European Journal of Economic Modelling and Econometrics
1
Central European journal of economic modelling and econometrics
1
Central European journal of operations research
1
CoFE discussion papers
1
Computational Statistics & Data Analysis
1
Computers & operations research : and their applications to problems of world concern ; an international journal
1
Computing in Economics and Finance 2004
1
Czech Journal of Economics and Finance (Finance a uver)
1
ECB Working Paper
1
Econometric reviews
1
Econometrics : open access journal
1
Econometrics Journal
1
Economics Series Working Papers / Department of Economics, Oxford University
1
Emerging Markets Review
1
Emerging markets review
1
Finance Working Papers
1
High frequency financial econometrics : recent developments ; with 64 tables
1
Jahrbücher für Nationalökonomie und Statistik
1
Journal of Air Transport Management
1
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik)
1
Journal of Financial Markets
1
Journal of air transport management
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ECONIS (ZBW)
41
RePEc
37
EconStor
9
BASE
1
Other ZBW resources
1
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1
Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe
;
Mikosch, Thomas
;
Rahbek, Anders
; …
- In:
Journal of econometrics
238
(
2024
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
Saved in:
2
Autoregressive conditional durations : an application to the Surinamese dollar versus the US dollar exchange rate
Ooft, Gavin
;
Franses, Philip Hans
;
Bhaghoe, Sailesh
- In:
Review of development economics : an essential resource …
27
(
2023
)
4
,
pp. 2618-2637
Persistent link: https://www.econbiz.de/10014427710
Saved in:
3
Testing for a serial correlation in VaR failures through the exponential
autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in Transition New Series
22
(
2021
)
1
,
pp. 145-162
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012600284
Saved in:
4
Testing for a serial correlation in VaR failures through the exponential
autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in transition : an international journal of …
22
(
2021
)
1
,
pp. 145-162
exponential
autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012487146
Saved in:
5
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
Saved in:
6
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
7
Uso del modelo autorregresivo de duración condicional para predecir la caída del dólar en el mercado cambiario colombiano
Gallego Escudero, Héctor Fabio
;
Ríos Saavedra, Omar …
- In:
Revista de economía del Rosario
23
(
2020
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012426679
Saved in:
8
Zero-Inflated
Autoregressive
Conditional
Duration
Model for Discrete Trade Durations with Excessive Zeros
Blasques, Francisco
;
Hol´y, Vladimír
;
Tomanová, Petra
-
2019
In finance, durations between successive transactions are usually modelled by the
autoregressive
conditional
duration
…
Persistent link: https://www.econbiz.de/10012114757
Saved in:
9
Zero-inflated
autoregressive
conditional
duration
model for discrete trade durations with excessive zeros
Blasques, Francisco
;
Holý, Vladimír
;
Tomanová, Petra
-
2019
In finance, durations between successive transactions are usually modelled by the
autoregressive
conditional
duration
…
Persistent link: https://www.econbiz.de/10011954223
Saved in:
10
Autoregressive
conditional
duration
models for high frequency financial data : an empirical study on mid cap exchange traded funds
Nunkoo, Houmera Bibi Sabera
;
Gonpot, Preethee Nunkoo
; …
- In:
Studies in economics and finance
39
(
2022
)
1
,
pp. 150-173
Persistent link: https://www.econbiz.de/10012798505
Saved in:
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