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Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension

Feng, Lingbing; Fu, Tong; Shi, Yanlin; Wang, Zili - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819431

Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582

Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices

Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012494892

Structural clustering of volatility regimes for dynamic trading strategies

Prakash, Arjun; James, Nick; Menzies, Max; Francis, Gilad - In: Applied mathematical finance 28 (2021) 3, pp. 236-274

Persistent link: https://www.econbiz.de/10013171071