Search Results - subject:"Autoregressive conditional duration"

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

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

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - 2015

heteroskedasticity and autoregressive conditional duration models. Our results show clear differences between the actual coverage …

Persistent link: https://www.econbiz.de/10010491409

In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - 2015

autoregressive conditional heteroskedasticity and autoregressive conditional duration models. Our results show clear differences …

Persistent link: https://www.econbiz.de/10011403547

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - Tinbergen Instituut - 2015

heteroskedasticity and autoregressive conditional duration models. Our results show clear differences between the actual coverage …

Persistent link: https://www.econbiz.de/10011256671

In-sample bounds for time-varying parameters of observation driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015

heteroskedasticity and autoregressive conditional duration models. Our results show clear differences between the actual coverage …

Persistent link: https://www.econbiz.de/10010484891

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015

autoregressive conditional heteroskedasticity and autoregressive conditional duration models. Our results show clear differences …

Persistent link: https://www.econbiz.de/10011295703

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