Similar Search Results

True or spurious long memory? : a new test

Ohanissian, Arek; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 161-175

Persistent link: https://www.econbiz.de/10003675667

Forecasting transaction rates : the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1994

Persistent link: https://www.econbiz.de/10000904213

Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model

Russell, Jeffrey R.; Engle, Robert F. - 1998

Persistent link: https://www.econbiz.de/10000988764

Forecasting transaction rates : the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1994

Persistent link: https://www.econbiz.de/10000147454

Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of econometrics 160 (2011) 1, pp. 145-159

Persistent link: https://www.econbiz.de/10009242529

Realized volatility forecasting in the presence of time-varying noise

Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345

Persistent link: https://www.econbiz.de/10009785979

Microstructure noise, realized variance, and optimal sampling

Bandi, F. M.; Russell, Jeffrey R. - In: The review of economic studies 75 (2008) 2, pp. 339-369

Persistent link: https://www.econbiz.de/10003678717

Realized volatility forecasting and option pricing

Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46

Persistent link: https://www.econbiz.de/10003783782

Forecasting Transaction Rates : The Autoregressive Conditional Duration Model

Engle, Robert F. - 1994

This paper will propose a new statistical model for the analysis of data that does not arrive in equal time intervals such as financial transactions data, telephone calls, or sales data on commodities that are tracked electronically. In contrast to fixed interval analysis, the model treats the...

Persistent link: https://www.econbiz.de/10012473933

Shifts in individual parameters of a GARCH model

Galeano, Pedro; Tsay, Ruey S. - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 122-153

Persistent link: https://www.econbiz.de/10003997359