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  • Search: subject:"conditional duration"
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Year of publication
Subject
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Schätzung 34 Estimation 33 Time series analysis 31 Zeitreihenanalyse 31 Börsenkurs 28 Theorie 28 Share price 27 Theory 26 Duration 23 Statistische Bestandsanalyse 23 Dauer 22 Duration analysis 22 Autoregressive conditional duration 19 Market microstructure 19 autoregressive conditional duration 17 Autokorrelation 15 ARCH model 14 ARCH-Modell 14 Autocorrelation 14 Autoregressive Conditional Duration 14 Estimation theory 14 Schätztheorie 14 Marktmikrostruktur 13 Volatility 12 Volatilität 12 Stochastischer Prozess 10 stochastic conditional duration 10 Autoregressive conditional duration model 9 Stochastic process 9 Risikomaß 8 USA 8 United States 8 stochastic volatility 8 Risk measure 7 market microstructure 7 Bayesian inference 6 Financial econometrics 6 Financial market 6 Finanzmarkt 6 importance sampling 6
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Online availability
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Free 58 Undetermined 33 CC license 1
Type of publication
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Article 59 Book / Working Paper 57
Type of publication (narrower categories)
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Article in journal 35 Aufsatz in Zeitschrift 35 Working Paper 19 Graue Literatur 11 Non-commercial literature 11 Arbeitspapier 10 Hochschulschrift 4 Article 3 Thesis 3 Aufsatz im Buch 1 Book section 1 research-article 1
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Language
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English 68 Undetermined 42 German 5 Spanish 1
Author
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Koopman, Siem Jan 10 Blasques, Francisco 8 Lucas, André 7 Wirjanto, Tony S. 7 Kolkiewicz, Adam W. 6 McAleer, Michael 6 Men, Zhongxian 6 Tse, Yiu Kuen 6 Herrera, Rodrigo 5 Ling, Shiqing 5 Tong, Howell 5 Dong, Yingjie 4 Grammig, Joachim 4 Lanne, Markku 4 Peitz, Christian 4 Scharth, Marcel 4 Tse, Yiu-Kuen 4 Cavaliere, Giuseppe 3 Feng, Yuanhua 3 Jokivuolle, Esa 3 Lasak, Katarzyna 3 Lucas, Andre 3 Peiris, Shelton 3 Rahbek, Anders 3 Schipp, Bernhard 3 Silvapulle, Mervyn J. 3 Tay, Anthony 3 Ting, Christopher 3 Tomanová, Petra 3 Warachka, Mitch 3 Łasak, Katarzyna 3 Allen, David 2 Bowe, Michael 2 Diana, Tony 2 Forstinger, Sarah 2 Gallo, Giampiero 2 González, Nicolás 2 Holý, Vladimír 2 Hujer, Reinhard 2 Huptas, Roman 2
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Institution
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School of Economics, Singapore Management University 4 Rimini Centre for Economic Analysis (RCEA) 3 Tinbergen Instituut 3 Department Volkswirtschaftslehre, Fachbereich für Wirtschaftswissenschaften 2 Department of Econometrics and Business Statistics, Monash Business School 2 Department of Economics, University of Waterloo 2 Center for Applied Economics and Policy Research (CAEPR), Department of Economics 1 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Department of Economics, Oxford University 1 Department of Economics, University of California-San Diego (UCSD) 1 East Asian Bureau of Economic Research (EABER) 1 EconWPA 1 European Central Bank 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 School of Economics and Political Science, Universität St. Gallen 1 Society for Computational Economics - SCE 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Springer Fachmedien Wiesbaden 1 Suomen Pankki 1 Technische Universität Dresden 1 Tinbergen Institute 1
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Published in...
All
Discussion paper / Tinbergen Institute 5 Journal of econometrics 5 Tinbergen Institute Discussion Paper 5 Tinbergen Institute Discussion Papers 4 Working Papers / School of Economics, Singapore Management University 4 Journal of empirical finance 3 Studies in Nonlinear Dynamics & Econometrics 3 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 3 Econometrics 2 International Journal of Forecasting 2 International journal of forecasting 2 Journal of Empirical Finance 2 Monash Econometrics and Business Statistics Working Papers 2 Working Papers / Department of Economics, University of Waterloo 2 Working Papers CIE 2 Annals of Financial Economics (AFE) 1 Annals of financial economics 1 Bank of Finland Discussion Papers 1 Bank of Finland research discussion papers 1 Berichte aus der Volkswirtschaft 1 CIE working paper series 1 CORE Discussion Papers 1 Caepr Working Papers 1 Central European Journal of Economic Modelling and Econometrics 1 Central European journal of economic modelling and econometrics 1 Central European journal of operations research 1 CoFE discussion papers 1 Computational Statistics & Data Analysis 1 Computers & operations research : and their applications to problems of world concern ; an international journal 1 Computing in Economics and Finance 2004 1 Czech Journal of Economics and Finance (Finance a uver) 1 Discussion Papers (ECON - Département des Sciences Economiques) 1 Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics 1 Documentos de Trabajo del ICAE 1 ECB Working Paper 1 Econometric Institute Research Papers 1 Econometric reviews 1 Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics 1 Econometrics : open access journal 1 Econometrics Journal 1
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Source
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RePEc 52 ECONIS (ZBW) 50 EconStor 12 BASE 1 Other ZBW resources 1
Showing 71 - 80 of 116
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Bayesian estimation and prediction for ACD models in the analysis of trade durations from the Polish stock market
Huptas, Roman - In: Central European journal of economic modelling and … 6 (2014) 4, pp. 237-273
Persistent link: https://www.econbiz.de/10010503009
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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437483
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Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
Tse, Yiu Kuen; Dong, Yingjie - In: Journal of empirical finance 28 (2014), pp. 352-361
Persistent link: https://www.econbiz.de/10011285621
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Efficient importance sampling for ML estimation of SCD models
Luc, BAUWENS; Galli, Fausto - Institut de Recherche Économique et Sociale (IRES), … - 2007
The evaluation of the likelihood function of the stochastic conditional duration model requires to compute an integral …
Persistent link: https://www.econbiz.de/10004984871
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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
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Efficient importance sampling for ML estimation of SCD models
BAUWENS, Luc; GALLI, Fausto - Center for Operations Research and Econometrics (CORE), … - 2007
The evaluation of the likelihood function of the stochastic conditional duration model requires to compute an integral …
Persistent link: https://www.econbiz.de/10005008384
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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
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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
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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
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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 …
Persistent link: https://www.econbiz.de/10010679162
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