Search Results - subject:"Autoregressive conditional duration"

Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO

Hujer, Reinhard; Grammig, Joachim; Kokot, Stefan - In: Jahrbücher für Nationalökonomie und Statistik 220 (2000) 6, pp. 689-714

Summary We apply the Threshold Autoregressive Conditional Duration Model (TACD) as proposed by Zhang, Russell, and Tsay …Zusammenfassung Wir verwenden das Threshold Autoregressive Conditional Duration Model (TACD) von Zhang, Russell, and …

Persistent link: https://www.econbiz.de/10014608802

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the …

Persistent link: https://www.econbiz.de/10010310019

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - Sonderforschungsbereich 373, Quantifikation und … - 1999

propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the …

Persistent link: https://www.econbiz.de/10010956461

Time and the Price Impact of a Trade

Dufour, Alfonso; Engle, Robert F - Department of Economics, University of California-San … - 1999

We use Hasbrouck (1991)'s vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of...

Persistent link: https://www.econbiz.de/10010536408

Semiparametric estimation for financial durations

Rodríguez Poo, Juan Manuel; Veredas, David; Pohlmeier, … - In: High frequency financial econometrics : recent …, (pp. 225-251). 2008

Persistent link: https://www.econbiz.de/10003579359

Evaluating financial time series models for irregulary speced data: a spectral density approach

Duchesne, Pierre; Pacurar, Maria - In: Computers & operations research : and their … 35 (2008) 1, pp. 130-155

Persistent link: https://www.econbiz.de/10003665878

Autoregressive conditional duration models in finance : a survey of the theoretical and empirical literature

Pacurar, Maria - In: Journal of economic surveys 22 (2008) 4, pp. 711-751

Persistent link: https://www.econbiz.de/10003748679

Mixture Processes for Financial Intradaily Durations

Luca, Giovanni De; Gallo, Giampiero - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 2, pp. 1223-1223

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price changes. Previous research has traditionally dealt with parametric models without reaching a satisfactory level of adequacy. In this study, it is shown that by using a mixture of...

Persistent link: https://www.econbiz.de/10004966182

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

Tay, Anthony; Ting, Christopher; Tse, Yiu Kuen; … - School of Economics, Singapore Management University - 2007

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

Persistent link: https://www.econbiz.de/10005006758

A Smooth Transition Autoregressive Conditional Duration Model

Chiang, Min-Hsien - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 1, pp. 1313-1313

conditional expected duration to switch in a smooth transition way, broadening the autoregressive conditional duration (ACD) model …This study presents a novel model for analyzing duration data, called the smooth transition autoregressive conditional … duration model of price and duration, which considers past price changes and durations. The model enables the process of the …

Persistent link: https://www.econbiz.de/10005579874