Search Results - subject:"conditional duration"

Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros

Blasques, Francisco; Holý, Vladimír; Tomanová, Petra - 2019

In finance, durations between successive transactions are usually modelled by the autoregressive conditional duration …

Persistent link: https://www.econbiz.de/10011954223

Threshold stochastic conditional duration model for financial transaction data

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of risk and financial management : JRFM 12 (2019) 2/88, pp. 1-21

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the …

Persistent link: https://www.econbiz.de/10012022077

Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds

Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173

Persistent link: https://www.econbiz.de/10012798505

Information and the arrival rate of option trading volume

Zhang, Mengyu; Verousis, Thanos; Kalaitzoglou, Iordanis - In: The journal of futures markets 42 (2022) 4, pp. 605-644

Persistent link: https://www.econbiz.de/10013187564

Clustering of arrivals in queueing systems : autoregressive conditional duration approach

Tomanová, Petra; Holý, Vladimír - In: Central European journal of operations research 29 (2021) 3, pp. 859-874

Persistent link: https://www.econbiz.de/10012587718

Testing unobserved market heterogeneity in financial markets : the case of Banco Popular

Pérez Rodríguez, Jorge V.; Gómez-Déniz, Emilio; … - In: The quarterly review of economics and finance : journal … 79 (2021), pp. 151-160

Persistent link: https://www.econbiz.de/10012655033

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu-Kuen - In: Econometrics 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...

Persistent link: https://www.econbiz.de/10011995199

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10011781945

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - 2015

heteroskedasticity and autoregressive conditional duration models. Our results show clear differences between the actual coverage …

Persistent link: https://www.econbiz.de/10010491409

Frontiers in Time Series and Financial Econometrics: An Overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

-threshold double autoregressive models, a new hyperbolic GARCH model, intraday value-at-risk: an asymmetric autoregressive conditional … duration approach, refinements in maximum likelihood inference on spatial autocorrelation in panel data, statistical inference …

Persistent link: https://www.econbiz.de/10010491413