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Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models
BAUWENS, Luc; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010704052
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Modelling daily Value-at-Risk using realized volatility and ARCH type models.
GIOT, Pierre; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010704114
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Gibbs sampling approach to cointegration
BAUWENS, Luc; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010704175
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How large is liquidity risk in an automated auction market?
GIOT, Pierre; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010704333
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Trading activity, realized volatility and jumps
GIOT, Pierre; LAURENT, Sébastien; PETITJEAN, Mikael - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010704358
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A comparison of financial duration models via density forecast
Veredas, David; Bauwens, Luc; Giot, Pierre; Grammig, Joachim - Solvay Brussels School of Economics and Management, … - 2004
Persistent link: https://www.econbiz.de/10010600873
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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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Co-integration and leadership in the European off-season fresh fruit market
Giot, Pierre; Henry De Frahan, Bruno; Pirotte, Nicolas - 1999
Persistent link: https://www.econbiz.de/10001379350
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Value-at-risk for long and short trading positions
Giot, Pierre; Laurent, Sébastien - 2001
Persistent link: https://www.econbiz.de/10001596369