Pages that link to "Item:Q3368216"

The following pages link to GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model (Q3368216):

Displaying 16 items.

• MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
• Nonparametric specification tests for conditional duration models (Q262795) (← links)
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272) (← links)
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
• Causality effects in return volatility measures with random times (Q737283) (← links)
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks (Q993813) (← links)
• Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (Q1025337) (← links)
• Modeling the interdependence of volatility and inter-transaction duration processes. (Q1858921) (← links)
• GARCH and irregularly spaced data (Q1929030) (← links)
• Evaluating financial time series models for irregularly spaced data: a spectral density approach (Q2384591) (← links)
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations (Q2439048) (← links)
• The dynamic mixed hitting-time model for multiple transaction prices and times (Q2451776) (← links)
• Analysing liquidity and absorption limits of electronic markets with volume durations (Q3518375) (← links)
• GARCH model selection criteria (Q4647269) (← links)
• On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators (Q4976477) (← links)
• Time-Deformation Modeling of Stock Returns Directed by Duration Processes (Q5080519) (← links)