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Determinants of inter-trade durations and hazard rates using proportional hazard ARMA models

Gerhard, Frank; Hautsch, Nikolaus - 2000

This paper puts focus on the hazard function of inter-trade durations to characterize the intraday trading process. It sheds light on the time varying trade intensity and, thus, on the liquidity of an asset and the informations channels which propagate price signals among asymmetrically informed...

Persistent link: https://www.econbiz.de/10011543945

Determinants of inter-trade durations and hazard rates using proportional hazard ARMA models

Gerhard, Frank - 2000

Persistent link: https://www.econbiz.de/10013436039

A structural approach to identify financial transmission in distinguished scenarios of crises

Herwartz, Helmut; Roestel, Jan - 2018

, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method …

Persistent link: https://www.econbiz.de/10011903210

Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns

Gungor, Sermin - 2017

We develop an exact and distribution-free procedure to test for quantile predictability at several quantile levels jointly, while allowing for an endogenous predictive regressor with any degree of persistence. The approach proceeds by combining together the quantile regression t-statistics from...

Persistent link: https://www.econbiz.de/10012946689

A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 2, pp. 719-729

Persistent link: https://www.econbiz.de/10015401165

Essays on treatment effect estimation

Rehse, Dominik - 2015

Persistent link: https://www.econbiz.de/10011526496

Co-movements of the Indian stock market

Sudhakar, Aare; Sireesha, P. Bhanu - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 40-59

Persistent link: https://www.econbiz.de/10011398114

Co-movements of the Indian stock market with select developed markets

Sudhakar, Aare; Sireesha, P. Bhansu - In: GITAM journal of management : a quarterly publication … 12 (2014) 4, pp. 137-156

Persistent link: https://www.econbiz.de/10011292576

An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models

Saart, Patrick; Gao, Jiti - 2012

Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration … the financial duration in question.This paper illustrates that the testing procedure developed is applicable to various …

Persistent link: https://www.econbiz.de/10014166683

Semiparametric Autoregressive Conditional Duration Model : Theory and Practice

Saart, Patrick - 2012

Many existing extensions of the Engle and Russell's (1998) Autoregressive Conditional Duration (ACD) model in the … literature are aimed at providing additional exibility either on the dynamics of the conditional duration model or the allowed … regression approach to a nonlinear ACD model; the use of a semiparametric functional form on the dynamics of the duration process …

Persistent link: https://www.econbiz.de/10013101136