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Search: subject:"conditional duration"
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Schätzung
33
Estimation
32
Time series analysis
30
Zeitreihenanalyse
30
Theorie
28
Börsenkurs
27
Share price
26
Theory
26
Duration
22
Statistische Bestandsanalyse
22
Dauer
21
Duration analysis
21
Autoregressive conditional duration
19
Market microstructure
19
autoregressive conditional duration
17
ARCH model
14
ARCH-Modell
14
Autokorrelation
14
Autoregressive Conditional Duration
14
Autocorrelation
13
Estimation theory
13
Marktmikrostruktur
13
Schätztheorie
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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Free
57
Undetermined
33
CC license
1
Type of publication
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Article
58
Book / Working Paper
57
Type of publication (narrower categories)
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Article in journal
34
Aufsatz in Zeitschrift
34
Working Paper
19
Graue Literatur
11
Non-commercial literature
11
Arbeitspapier
10
Hochschulschrift
4
Article
3
Thesis
3
Aufsatz im Buch
1
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1
research-article
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Language
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English
67
Undetermined
42
German
5
Spanish
1
Author
All
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
Feng, Yuanhua
3
Jokivuolle, Esa
3
Lasak, Katarzyna
3
Lucas, Andre
3
Peiris, Shelton
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
Cavaliere, Giuseppe
2
Diana, Tony
2
Forstinger, Sarah
2
Gallo, Giampiero
2
González, Nicolás
2
Holý, Vladimír
2
Hujer, Reinhard
2
Huptas, Roman
2
Hyde, Stuart
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
Econometrics : open access journal
1
Econometrics Journal
1
Economics Letters
1
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Source
All
RePEc
52
ECONIS (ZBW)
49
EconStor
12
BASE
1
Other ZBW resources
1
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115
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1
Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe
;
Mikosch, Thomas
;
Rahbek, Anders
; …
- In:
Journal of econometrics
238
(
2024
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
Saved in:
2
Autoregressive conditional durations : an application to the Surinamese dollar versus the US dollar exchange rate
Ooft, Gavin
;
Franses, Philip Hans
;
Bhaghoe, Sailesh
- In:
Review of development economics : an essential resource …
27
(
2023
)
4
,
pp. 2618-2637
Persistent link: https://www.econbiz.de/10014427710
Saved in:
3
Testing for a serial correlation in VaR failures through the exponential autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in Transition New Series
22
(
2021
)
1
,
pp. 145-162
exponential autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012600284
Saved in:
4
Testing for a serial correlation in VaR failures through the exponential autoregressive
conditional
duration
model
Małecka, Marta
- In:
Statistics in transition : an international journal of …
22
(
2021
)
1
,
pp. 145-162
exponential autoregressive
conditional
duration
(EACD) VaR test. We show that, under the null, the tested parameter lies at the …
Persistent link: https://www.econbiz.de/10012487146
Saved in:
5
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
Saved in:
6
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
7
Uso del modelo autorregresivo de duración condicional para predecir la caída del dólar en el mercado cambiario colombiano
Gallego Escudero, Héctor Fabio
;
Ríos Saavedra, Omar …
- In:
Revista de economía del Rosario
23
(
2020
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012426679
Saved in:
8
Zero-Inflated Autoregressive
Conditional
Duration
Model for Discrete Trade Durations with Excessive Zeros
Blasques, Francisco
;
Hol´y, Vladimír
;
Tomanová, Petra
-
2019
In finance, durations between successive transactions are usually modelled by the autoregressive
conditional
duration
…
Persistent link: https://www.econbiz.de/10012114757
Saved in:
9
Threshold stochastic
conditional
duration
model for financial transaction data
Men, Zhongxian
;
Kolkiewicz, Adam W.
;
Wirjanto, Tony S.
- In:
Journal of Risk and Financial Management
12
(
2019
)
2
,
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/10012611110
Saved in:
10
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
Saved in:
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