Search Results - subject:"Autoregressive conditional duration"

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models

Meitz, Mika; Saikkonen, Pentti - Department of Economics, Oxford University - 2007

heteroskedasticity (GARCH) and autoregressive conditional duration (ACD) models with possibly complicated non-linear structures. The …

Persistent link: https://www.econbiz.de/10005047884

Detecting Misspecifications in Autoregressive Conditional Duration Models

Hong, Yongmiao; Lee, Yoon-Jin - Center for Applied Economics and Policy Research … - 2007

We propose a new class of specification tests for Autoregressive Conditional Duration (ACD) models. Both linear and …

Persistent link: https://www.econbiz.de/10005727846

Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading

Tay, Anthony; Ting, Christopher; Tse, Yiu Kuen; … - East Asian Bureau of Economic Research (EABER) - 2007

This paper implements the Asymmetric Autoregressive Conditional Duration (AACD) model of Bauwens and Giot (2003) to …

Persistent link: https://www.econbiz.de/10009365398

Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model (in English)

Zikes, Filip; Bubák, Vít - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 5-6, pp. 223-245

securities traded on the exchange – Cesky Telecom, CEZ, and Komercni banka – the authors estimate autoregressive conditional … duration (ACD) models for price-duration series and test several market-microstructure hypotheses suggested by the information …

Persistent link: https://www.econbiz.de/10005808631

Estimating and simulating Weibull models of risk or price durations: An application to ACD models

Allen, David; Ng, K.H.; Peiris, Shelton - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 214-225

There is now a massive literature on both the GARCH family of risk models and the related Auto-Conditional Duration (ACD) models used for modeling the stochastic timing of trades or price changes in finance market microstructure research. Both have their origins in Engle (1982) and Bollerslev...

Persistent link: https://www.econbiz.de/10010679162

Duration, trading volume and the price impact of trades in an emerging futures market

Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - In: Emerging Markets Review 17 (2013) C, pp. 89-105

This paper examines the price impact of trading intensity on the MexDer TIIE28 interest rate futures contract, one of the world's most actively traded contracts. A novel volume-augmented duration model of price discovery decomposes trading intensity into liquidity and information components....

Persistent link: https://www.econbiz.de/10010719724

Value at risk forecasts by extreme value models in a conditional duration framework

Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47

Persistent link: https://www.econbiz.de/10010221789

Duration, trading volume and the price impact of trades in an emerging futures market

Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - In: Emerging markets review 17 (2013), pp. 89-105

Persistent link: https://www.econbiz.de/10010243112

Estimating and simulating Weibull models of risk or price durations : an application to ACD models

Allen, David E.; Kok Haur Ng; Peiris, Shelton - In: The North American journal of economics and finance : a … 25 (2013), pp. 214-225

Persistent link: https://www.econbiz.de/10009779281

On the intraday periodicity duration adjustment of high-frequency data

Wu, Zhengxiao - In: Journal of Empirical Finance 19 (2012) 2, pp. 282-291

In the last decade, intensive studies on modeling high frequency financial data at the transaction level have been conducted. In the analysis of high-frequency duration data, it is often the first step to remove the intraday periodicity. Currently the most popular adjustment procedure is the...

Persistent link: https://www.econbiz.de/10010572329