Search Results - subject:"Autoregressive conditional duration"

Extreme value models in a conditional duration intensity framework

Herrera, Rodrigo; Schipp, Bernhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

. The main idea is to model the time between exceedances through an Autoregressive Conditional Duration (ACD) model, while …

Persistent link: https://www.econbiz.de/10010607137

Nonparametric kernel testing in semiparametric autoregressive conditional duration model

Wongsaart, Pipat; Gao, Jiti - 2011

A crucially important advantage of the semiparametric regression approach to the nonlinear autoregressive conditional … duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact …

Persistent link: https://www.econbiz.de/10009406330

Die parametrische und semiparametrische Analyse von Finanzzeitreihen : neue Methoden, Modelle und Anwendungsmöglichkeiten

Peitz, Christian - 2016

Persistent link: https://www.econbiz.de/10011432076

Pinning down an effective measure for probability of informed trading

Petchey, James; Wee, Marvin; Yang, Wenling - In: Pacific-Basin finance journal 40 (2016), pp. 456-475

Persistent link: https://www.econbiz.de/10011712277

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; … - In: International journal of forecasting 32 (2016) 3, pp. 875-887

Persistent link: https://www.econbiz.de/10011621857

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

Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten

Peitz, Christian - 2016 - 1. Aufl. 2016

Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle -- Analyse von Handelswartezeiten -- Glättung der Volatilität von hochfrequenten Finanzdaten in einem...

Persistent link: https://www.econbiz.de/10014018518

The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey

Xu, Dinghai - Department of Economics, University of Waterloo - 2009

This paper provides a selected review of the recent developments and applications of mixtures of normal (MN) distribution models in empirical finance. Once attractive property of the MN model is that it is flexible enough to accommodate various shapes of continuous distributions, and able to...

Persistent link: https://www.econbiz.de/10008565181

Measuring the impact of traffic flow management on interarrival duration: An application of autoregressive conditional duration

Diana, Tony - In: Journal of Air Transport Management 42 (2015) C, pp. 219-225

Autoregressive Conditional Duration (ACD) model, the analysis shows that the use of traffic flow management procedures contributed to …

Persistent link: https://www.econbiz.de/10011190581

Measuring the impact of traffic flow management on interarrival duration : an application of autoregressive conditional duration

Diana, Tony - In: Journal of air transport management 42 (2015), pp. 219-225

Persistent link: https://www.econbiz.de/10010482040