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The moments of Log-ACD models
BAUWENS, Luc; GALLi, Fausto; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010675073
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A comparison of financial duration models via density forecasts
BAUWENS, Luc; GIOT, Pierre; GRAMMIG, Joachim; VEREDAS, David - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010694010
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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/10010694349
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The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks
BAUWENS, Luc; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010694436
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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/10010694722
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News announcements, market activity and volatility in the euro/dollar foreign exchange market
BAUWENS, Luc; BEN OMRANE, Walid; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010694896
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Asymmetric ACD models: Introducing price information in ACD models
BAUWENS, Luc; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010703824
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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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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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Asymmetric ACD models: Introducing price information in ACD models
Bauwens, Luc; Giot, Pierre - In: Empirical Economics 28 (2003) 4, pp. 709-731
This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model...
Persistent link: https://www.econbiz.de/10005382273