Search Results - subject:"Duration process"

Econometric Time Series Specification Testing in a Class of Multiplicative Error Models

Saart, Patrick W; Gao, Jiti; Kim, Nam Hyun - Department of Econometrics and Business Statistics, … - 2014

In recent years, analysis of financial time series has focused largely on data related to market trading activity. Apart from modelling the conditional variance of returns within the GARCH family of models, presently attention has also been devoted to other market variables, especially volumes,...

Persistent link: https://www.econbiz.de/10010958946

Time-Deformation Modeling Of Stock Returns Directed By Duration Processes

Feng, Dingan; Song, Peter X.-K.; Wirjanto, Tony S. - Department of Economics, University of Waterloo - 2008

transaction time and directed by a generalized duration process. Stochastic volatility in this model is driven by an observed … duration process and a latent autoregressive process. Parameter estimation in the model is carried out by using the method of … transaction return data can be summarized as follows: (i) the return distribution conditional on the duration process is not …

Persistent link: https://www.econbiz.de/10005748020