We propose a new model for transaction data that accounts jointly for the time duration between transactions and for the discreteness of the intraday stock price changes. Duration is assumed to follow a stochastic conditional duration model, while price discreteness is captured by an...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

The main aims of this study are to examine the income disparities’ evolution among the West-African Economic and Monetary Union (WAEMU) countries over the period 1980-2019, and to determine whether the reforms implemented in the region since 1994 have helped to reduce or to accentuate the...

We propose an autoregressive conditional duration (ACD) model with periodic time-varying parameters and multiplicative error form. We name this model periodic autoregressive conditional duration (PACD). First, we study the stability properties and the moment structures of it. Second, we estimate...

In the European Union, small and medium sized enterprises (SMEs) represent 99% of all businesses and contribute to more than half of the total value-added. In this paper, we develop distress prediction models for SMEs using a dataset from eight European countries over the period 2000-2009. We...

We propose an autoregressive conditional duration (ACD) model with periodic time-varying parameters and multiplicative error form. We name this model periodic autoregressive conditional duration (PACD). First, we study the stability properties and the moment structures of it. Second, we estimate...

A class of generalized ARMA models with an identity link function and a conditional beta prime (BP-ARMA) distribution is proposed for modeling positive time series. Sufficient and necessary conditions for the existence of an ergodic stationary BP-ARMA process having finite moments are first...