Search Results - subject:"Autoregressive Conditional Duration model"

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

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 … model based on a continuous distribution omitting frequent zero values. Zero durations can be caused by either split …

Persistent link: https://www.econbiz.de/10012114757

Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros

Blasques, Francisco; Holý, Vladimír; Tomanová, Petra - 2019

Persistent link: https://www.econbiz.de/10011954223

Clustering of arrivals in queueing systems : autoregressive conditional duration approach

Tomanová, Petra; Holý, Vladimír - In: Central European journal of operations research 29 (2021) 3, pp. 859-874

Persistent link: https://www.econbiz.de/10012587718

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu-Kuen - In: Econometrics 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...

Persistent link: https://www.econbiz.de/10011995199

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10011781945

Analyse inhomogener Zeitreihen : eine Untersuchung des Informationsflusses im Fall von zweitnotierten Aktien mit autoregressiven bedingten Wartezeitmodellen auf Basis ultra-hochfrequenter Daten

Kaden, Sven - 2019

Persistent link: https://www.econbiz.de/10012196302

Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market

Huptas, Roman - In: Central European Journal of Economic Modelling and … 6 (2014) 4, pp. 237-273

In recent years, autoregressive conditional duration models (ACD models) introduced by Engle and Russell in 1998 have become very popular in modelling of the durations between selected events of the transaction process (trade durations or price durations) and modelling of financial market...

Persistent link: https://www.econbiz.de/10011194515

Bid-ask spread, quoted depths, and unexpected duration between trades

Ruan, Jun Tony; Ma, Tongshu - In: Journal of financial services research : JFSR 51 (2017) 3, pp. 385-436

Persistent link: https://www.econbiz.de/10011777286

A goodness-of-fit test for a class of autoregressive conditional duration models

Perera, Indeewara; Hidalgo, Javier; Silvapulle, Mervyn J. - In: Econometric reviews 35 (2016) 5/7, pp. 1111-1141

Persistent link: https://www.econbiz.de/10011591144