Pages that link to "Item:Q2439049"

The following pages link to Stochastic volatility duration models (Q2439049):

Displaying 26 items.

• Nonparametric specification tests for conditional duration models (Q262795) (← links)
• A family of autoregressive conditional duration models (Q269391) (← links)
• An efficient nonparametric estimator for models with nonlinear dependence (Q278497) (← links)
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
• Testing for unobserved heterogeneity in exponential and Weibull duration models (Q736541) (← links)
• A misspecification test for multiplicative error models of non-negative time series processes (Q888328) (← links)
• Bayesian analysis of the stochastic conditional duration model (Q959312) (← links)
• Econometric analysis of financial trade processes by discrete mixture duration models (Q959753) (← links)
• Nonparametric density estimation for positive time series (Q962247) (← links)
• Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (Q1025337) (← links)
• Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
• The dynamic mixed hitting-time model for multiple transaction prices and times (Q2451776) (← links)
• A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090) (← links)
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438) (← links)
• A QUASI-LOCALLY MOST POWERFUL TEST FOR CORRELATION IN THE CONDITIONAL VARIANCE OF POSITIVE DATA (Q2802749) (← links)
• SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS (Q2986524) (← links)
• The impact of transaction duration, volume and direction on price dynamics and volatility (Q3169221) (← links)
• Estimation of the stochastic conditional duration model via alternative methods (Q3548526) (← links)
• Duration time-series models with proportional hazard (Q3608189) (← links)
• Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models (Q3615080) (← links)
• The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data (Q4555122) (← links)
• Testing weak exogeneity in multiplicative error models (Q4555167) (← links)
• The Dynamics of Hedge Fund Performance (Q4558827) (← links)
• Forecasting trade durations via ACD models with mixture distributions (Q5120735) (← links)
• Nonlinear Complexity and Chaotic Behaviors on Finite-Range Stochastic Epidemic Financial Dynamics (Q5225795) (← links)
• LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS (Q5397672) (← links)