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A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - In: International Journal of Forecasting 20 (2004) 4, pp. 589-609

Persistent link: https://www.econbiz.de/10005418381

A comparison of financial duration models via density forecasts

BAUWENS, Luc; GIOT, Pierre; GRAMMIG, Joachim; VEREDAS, David - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010927286

A comparison of financial duration models via density forecasts

BAUWENS, Luc; GIOT, Pierre; GRAMMIG, Joachim; VEREDAS, David - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010694010

Estimation of stable distributions with indirect inference

Veredas, David; Garcia, Rene; Renault, Eric - Solvay Brussels School of Economics and Management, … - 2011

This article deals with the estimation of the parameters of an α-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the α-stable distribution, with...

Persistent link: https://www.econbiz.de/10011194279

Commonalities in the order book

BELTRAN-LOPEZ, Héléna; GIOT, Pierre; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010926581

Commonalities in the order book

Beltran-Lopez, Héléna; Giot, Pierre; Grammig, Joachim - In: Financial Markets and Portfolio Management 23 (2009) 3, pp. 209-242

Persistent link: https://www.econbiz.de/10005048625

How large is liquidity risk in an automated auction market?

Giot, Pierre; Grammig, Joachim - In: Empirical Economics 30 (2006) 4, pp. 867-887

Persistent link: https://www.econbiz.de/10005166737

How large is liquidity risk in an automated auction market?

GIOT, Pierre; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010674933

Commonalities in the order book

BELTRAN-LOPEZ, Héléna; GIOT, Pierre; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675347

How large is liquidity risk in an automated auction market?

GIOT, Pierre; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010704333