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Asymmetric ACD models : introducing price information in ACD models with a two state transition model

Bauwens, Luc - 1998

Persistent link: https://www.econbiz.de/10000994354

The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks

Bauwens, Luc; Giot, Pierre - In: Annales d'économie et de statistique (2000), pp. 117-149

Persistent link: https://www.econbiz.de/10001543399

A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - 2000

Persistent link: https://www.econbiz.de/10001555045

Econometric modelling of stock market intraday activity

Bauwens, Luc; Giot, Pierre - 2001

Persistent link: https://www.econbiz.de/10001584609

Asymmetric ACD models: introducing price information in ACD models

Bauwens, Luc; Giot, Pierre - In: Empirical economics : a journal of the Institute for … 28 (2003) 4, pp. 709-731

Persistent link: https://www.econbiz.de/10001798161

A Gibbs sampling approach to cointegration

Bauwens, Luc - 1997

Persistent link: https://www.econbiz.de/10000962645

The moments of Log-ACD models

Bauwens, Luc; Galli, Fausto; Giot, Pierre - 2003

Persistent link: https://www.econbiz.de/10001790741

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/10002434252

News announcements, market activity and volatility in the euro/dollar foreign exchange market

Bauwens, Luc; Ben Omrane, Walid; Giot, Pierre - In: Journal of international money and finance 24 (2005) 7, pp. 1180-1125

Persistent link: https://www.econbiz.de/10003210043

The Moments of Log-Acd Models

Bauwens, Luc - 2003

We provide existence conditions and analytical expressions of the moments of logarithmic autoregressive conditional duration (Log-ACD) models. We focus on the dispersion index and the autocorrelation function and compare them with those of ACD (Engle and Russell 1998) and SCD models. Using...

Persistent link: https://www.econbiz.de/10012740088