A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090): Difference between revisions

@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Change of Time and Change of Measure
@@ Property / cites work: Change of Time and Change of Measure / rank @@
+Normal rank
@@ Property / cites work @@
+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+Forecasting multifractal volatility
@@ Property / cites work: Forecasting multifractal volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme Risk and Fractal Regularity in Finance
@@ Property / cites work: Extreme Risk and Fractal Regularity in Finance / rank @@
+Normal rank
@@ Property / cites work @@
+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q3922034
@@ Property / cites work: Q3922034 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to the Theory of Point Processes
@@ Property / cites work: An Introduction to the Theory of Point Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory in intertrade durations, counts and realized volatility of NYSE stocks
+Normal rank
@@ Property / cites work @@
+Long memory and regime switching
@@ Property / cites work: Long memory and regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Nonlinear Dynamic Structures
@@ Property / cites work: Nonlinear Dynamic Structures / rank @@
+Normal rank
@@ Property / cites work @@
+Q2880716
@@ Property / cites work: Q2880716 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic volatility duration models
@@ Property / cites work: Stochastic volatility duration models / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory relationships and the aggregation of dynamic models
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
+Normal rank
@@ Property / cites work @@
+Q3089394
@@ Property / cites work: Q3089394 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4000186
@@ Property / cites work: Q4000186 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
+Normal rank
@@ Property / cites work @@
+Maximum Likelihood Estimation of Misspecified Models
+Normal rank
@@ Property / cites work @@
+Q4869532
@@ Property / cites work: Q4869532 / rank @@
+Normal rank