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Dynamic Latent Factor Models for Intensity Processes

Bauwens, Luc; Hautsch, Nikolaus - 2005

This paper introduces a new framework for the dynamic modelling of univariate and multivariate point processes. The so-called latent factor intensity (LFI) model is based on the assumption that the intensity function consists of univariate or multivariate observation driven dynamic components...

Persistent link: https://www.econbiz.de/10014066098

Stochastic conditional intensity processes

Bauwens, Luc; Hautsch, Nikolaus - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 450-493

Persistent link: https://www.econbiz.de/10003354109

Preise und Handelsvolumina auf Finanzmärkten : eine empirische Überprüfung d. Mischungsverteilungshypothese

Liesenfeld, Roman - 1998

Persistent link: https://www.econbiz.de/10000982152

Optionsbewertung bei stochastischer Volatilität

Nagel, Hartmut - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001530489

The dynamics of trading duration, volume and price volatility : a vector MEM model

Xu, Yongdeng (contributor) - 2013

We propose a general form of vector Multiplicative Error Model (MEM) for the dynamics of duration, volume and price … the market. But we highlight that it is unexpected component of trading duration or trading volume that carry the …

Persistent link: https://www.econbiz.de/10009738886

Price duration versus trading volume in high-frequency data for selected DAX companies

Gurgul, Henryk; Syrek, Robert; Mitterer, Christoph - In: Managerial economics 17 (2016) 2, pp. 241-260

The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume … distribution) can be replaced by a logarithmic specification with more-flexible conditional distributions. The price duration and … trading volume associated with this duration exhibit dependence in the tails of distribution. We may conclude that high …

Persistent link: https://www.econbiz.de/10011736961