Long memory in intertrade durations, counts and realized volatility of NYSE stocks

DOI10.1016/j.jspi.2010.04.037zbMath1404.62103MaRDI QIDQ993813

Clifford M. Hurvich, Rohit S. Deo, Meng-Chen Hsieh

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.037

zbMATH Keywords

point processes; autoregressive conditional duration models; stochastic duration models

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

Related Items

Bayesian inference of asymmetric stochastic conditional duration models, A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models, Modeling and forecasting persistent financial durations, A unified approach to self-normalized block sampling, Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility, Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models, A Markov-switching multifractal inter-trade duration model, with application to US equities, LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS

Uses Software

• longmemo

Cites Work

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