Pages that link to "Item:Q4530924"
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The following pages link to Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (Q4530924):
Displaying 50 items.
- Accelerating the estimation of renewal Hawkes self-exciting point processes (Q109685) (← links)
- Ensemble Binary Segmentation for irregularly spaced data with change-points (Q139553) (← links)
- Likelihood based inference for the multivariate renewal Hawkes process (Q149025) (← links)
- Financial econometric analysis at ultra-high frequency: Data handling concerns (Q150349) (← links)
- Modelling time series of counts with overdispersion (Q257536) (← links)
- Nonparametric specification tests for conditional duration models (Q262795) (← links)
- A family of autoregressive conditional duration models (Q269391) (← links)
- An efficient nonparametric estimator for models with nonlinear dependence (Q278497) (← links)
- On Fréchet autoregressive conditional duration models (Q282897) (← links)
- A moment closed form estimator for the autoregressive conditional duration model (Q284183) (← links)
- On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws (Q287404) (← links)
- Parameter change test for autoregressive conditional duration models (Q287530) (← links)
- Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187) (← links)
- The multi-state latent factor intensity model for credit rating transitions (Q290969) (← links)
- A multiple indicators model for volatility using intra-daily data (Q292000) (← links)
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272) (← links)
- Dynamic quantile models (Q299276) (← links)
- The impact of a financial transaction tax on stylized facts of price returns -- evidence from the lab (Q310972) (← links)
- Filtering with marked point process observations via Poisson chaos expansion (Q360366) (← links)
- Retrospective change detection for binary time series models (Q393542) (← links)
- Stationarity and ergodicity of univariate generalized autoregressive score processes (Q405328) (← links)
- Computing and estimating information matrices of weak ARMA models (Q425392) (← links)
- A branching particle approximation to a filtering micromovement model of asset price (Q453787) (← links)
- A semiparametric conditional duration model (Q485700) (← links)
- A Bayesian chi-squared test for hypothesis testing (Q496143) (← links)
- R-estimation in semiparametric dynamic location-scale models (Q503558) (← links)
- Fitting a two phase threshold multiplicative error model (Q515143) (← links)
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
- Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
- A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations (Q537479) (← links)
- Joint estimation using quadratic estimating function (Q642439) (← links)
- Nonlinear autoregressive conditional duration models for traffic congestion estimation (Q642455) (← links)
- Completion time structures of stock price movements (Q665544) (← links)
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
- Testing for unobserved heterogeneity in exponential and Weibull duration models (Q736541) (← links)
- Bayesian estimation and inference for log-ACD models (Q736572) (← links)
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
- Causality effects in return volatility measures with random times (Q737283) (← links)
- Case-cohort analysis of clusters of recurrent events (Q746520) (← links)
- Evaluating multiplicative error models: a residual-based approach (Q830601) (← links)
- Quantifying and understanding the economics of large financial movements (Q844583) (← links)
- Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (Q858848) (← links)
- Volatility, risk modeling and utility (Q858849) (← links)
- Econometric analysis of high frequency data (Q862781) (← links)
- A misspecification test for multiplicative error models of non-negative time series processes (Q888328) (← links)
- Intraday value-at-risk: an asymmetric autoregressive conditional duration approach (Q888338) (← links)
- Generalized ARMA models with martingale difference errors (Q888346) (← links)
- Mixtures of compound Poisson processes as models of tick-by-tick financial data (Q944809) (← links)
