Search Results - subject:"Autoregressive conditional duration"

A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 2, pp. 719-729

Persistent link: https://www.econbiz.de/10015401165

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

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

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

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

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

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

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

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