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Empirical models of the intraday process of price changes and liquidity : a transaction level approach

Gerhard, Frank (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001763098

Identifying intraday volatility

Pohlmeier, Winfried - In: Beiträge zur Mikro- und zur Makroökonomik : …, (pp. 347-362). 2001

Persistent link: https://www.econbiz.de/10014553674

Analyzing the time between trades with a gamma compounded hazard model : an application to LIFFE bund future transactions

Hautsch, Nikolaus - 1999

Persistent link: https://www.econbiz.de/10001378696

Assessing the risk of liquidity suppliers on the basis of excess demand intensities

Hautsch, Nikolaus - In: Journal of financial econometrics : official journal of … 1 (2003) 2, pp. 189-215

Persistent link: https://www.econbiz.de/10002214097

Modelling intraday trading activity using Box-Cox-ACD models

Hautsch, Nikolaus - 2002

Persistent link: https://www.econbiz.de/10001683732

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4015

Persistent link: https://www.econbiz.de/10003804813

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus (contributor) - 2007

We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...

Persistent link: https://www.econbiz.de/10003634717

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus (contributor) - 2007

Persistent link: https://www.econbiz.de/10003562219

Econometric analysis of financial transaction data : Pitfalls and opportunities

Hautsch, Nikolaus; Pohlmeier, Winfried - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 5-30

Persistent link: https://www.econbiz.de/10001650462

Dynamic latent factor models for intensity processes

Bauwens, Luc; Hautsch, Nikolaus - 2003

Persistent link: https://www.econbiz.de/10001946172