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The logarithmic ACD model : an application to market microstructure and NASDAQ
Bauwens, Luc; Giot, Pierre - 1997
Persistent link: https://www.econbiz.de/10000980123
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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
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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
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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
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A Gibbs sampling approach to cointegration
Bauwens, Luc - 1997
Persistent link: https://www.econbiz.de/10000962645
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The moments of Log-ACD models
Bauwens, Luc; Galli, Fausto; Giot, Pierre - 2003
Persistent link: https://www.econbiz.de/10001790741
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The "pathology" of the natural conjugate prior density in the regression model
Bauwens, Luc - In: Annales d'économie et de statistique (1991), pp. 49-64
Persistent link: https://www.econbiz.de/10001117091
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Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo
Bauwens, Luc - 1984
Persistent link: https://www.econbiz.de/10013277978
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Tackling boundary effects in nonparametric estimation of intra-day liquidity measures
Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2001
Persistent link: https://www.econbiz.de/10010316239
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Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten
Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan; … - 1998
Wir verwenden eine neue, auf der Burr-Verteilung basierende Spezifikation aus der Familie der Autoregressive Conditional Duration (ACD) Modelle zur ökonometrischen Analyse der Transaktionsintensitäten während der Börseneinführung (IPO) der Deutsche Telekom Aktie. In diesem Fallbeispiel wird...
Persistent link: https://www.econbiz.de/10010316257