Durations, volume and the prediction of financial returns in transaction time

DOI10.1080/14697680500040033zbMath1118.91354OpenAlexW2029514319MaRDI QIDQ5697321

Christian M. Hafner

Publication date: 17 October 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500040033

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites Work

• Nonparametric vector autoregression
• Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
• Multivariate locally weighted least squares regression
• Extracting information from mega‐panels and high‐frequency data
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• The Econometrics of Ultra-high-frequency Data