Search Results - subject:"conditional duration"

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

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

Bubak, Vit; Žikeš, Filip - Institut ekonomických studií, Univerzita Karlova v Praze - 2005

conditional duration (ACD) models for price duration series and test several market microstructure hypotheses suggested by the …

Persistent link: https://www.econbiz.de/10005698704

Propagation of Memory Parameter from Durations to Counts

Deo, Rohit; Hurvich, Clifford; Soulier, Philippe; Wang, Yi - EconWPA - 2005

. We then show that any Autoregressive Conditional Duration ACD(1,1) model with a sufficient number of finite moments …

Persistent link: https://www.econbiz.de/10005119205

Statistische Eigenschaften von Prozessen mit autoregressiver bedingter Wartezeit

Ornau, Frederik - 2005

Persistent link: https://www.econbiz.de/10002795429

Trading Nokia : the roles of the Helsinki vs. the New York stock exchange

Jokivuolle, Esa; Lanne, Markku - In: Liiketaloudellinen aikakauskirja 54 (2005) 3, pp. 361-374

Persistent link: https://www.econbiz.de/10003169739