Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations

DOI10.1111/1467-9892.00259zbMath1062.62177OpenAlexW3124423890WikidataQ29035844 ScholiaQ29035844MaRDI QIDQ4676999

Christian Gouriéroux, Joanna Jasiak

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00259

zbMATH Keywords

high frequency datafractionally integrated processnonlinear canonical correlationinter-trade duration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Mathematical economics (91B99)

Related Items (6)

An efficient nonparametric estimator for models with nonlinear dependence ⋮ Heterogeneous INAR(1) model with application to car insurance ⋮ Wavelets-based estimation of nonlinear canonical analysis ⋮ Kernel-based nonlinear canonical analysis and time reversibility ⋮ Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data ⋮ Numerical and theoretical considerations for sensitivity calculation of discontinuous flow

Uses Software

• fda (R)

Cites Work

• Spectral methods for identifying scalar diffusions
• Nonlinear canonical analysis and independence tests
• Varieties of long memory models
• Modeling volatility persistence of speculative returns: a new approach
• Truncated dynamics and estimation of diffusion equations

This page was built for publication: Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations