On the interday homogeneity in the intraday rate of trading

DOI10.1016/j.matcom.2008.12.017zbMath1158.91458OpenAlexW2023757497MaRDI QIDQ1013160

Chad R. Bhatti

Publication date: 17 April 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.017

zbMATH Keywords

market microstructureautoregressive conditional duration modelduration modelingdependent point processeshigh-frequency finance

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

The Birnbaum-Saunders autoregressive conditional duration model

Uses Software

• R

Cites Work

• Unnamed Item
• A family of autoregressive conditional duration models
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• Regime-switching Pareto distributions for ACD models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Inference in the Generalized Gamma and Log Gamma Distributions
• Bathtub and Related Failure Rate Characterizations
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• A Smooth Transition Autoregressive Conditional Duration Model
• Inferential Procedures for the Generalized Gamma Distribution
• A Generalization of the Gamma Distribution
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

This page was built for publication: On the interday homogeneity in the intraday rate of trading