Pages that link to "Item:Q4799851"

The following pages link to The Econometrics of Ultra-high-frequency Data (Q4799851):

Displaying 50 items.

• MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
• Nonparametric specification tests for conditional duration models (Q262795) (← links)
• On Fréchet autoregressive conditional duration models (Q282897) (← links)
• A moment closed form estimator for the autoregressive conditional duration model (Q284183) (← links)
• Local multiplicative bias correction for asymmetric kernel density estimators (Q288358) (← links)
• Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187) (← links)
• A multiple indicators model for volatility using intra-daily data (Q292000) (← links)
• Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272) (← links)
• Filtering with marked point process observations via Poisson chaos expansion (Q360366) (← links)
• A new wavelet-based denoising algorithm for high-frequency financial data mining (Q439431) (← links)
• A branching particle approximation to a filtering micromovement model of asset price (Q453787) (← links)
• Specification testing for transformation models with an application to generalized accelerated failure-time models (Q473348) (← links)
• Data-based ranking of realised volatility estimators (Q530606) (← links)
• Semi- and nonparametric ARCH processes (Q609736) (← links)
• Completion time structures of stock price movements (Q665544) (← links)
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
• Spectral estimation for locally stationary time series with missing observations (Q693321) (← links)
• Functional data analysis for clients segmentation tasks (Q704082) (← links)
• Testing for unobserved heterogeneity in exponential and Weibull duration models (Q736541) (← links)
• Causality effects in return volatility measures with random times (Q737283) (← links)
• A new marked point process model for the federal funds rate target: methodology and forecast evaluation (Q844722) (← links)
• Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (Q858848) (← links)
• Volatility, risk modeling and utility (Q858849) (← links)
• A misspecification test for multiplicative error models of non-negative time series processes (Q888328) (← links)
• Intraday value-at-risk: an asymmetric autoregressive conditional duration approach (Q888338) (← links)
• Nonparametric density estimation for positive time series (Q962247) (← links)
• Realized volatility with stochastic sampling (Q981001) (← links)
• Bayes estimation via filtering for a simple micro-movement model of asset price with discrete noises (Q1000005) (← links)
• Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (Q1025337) (← links)
• A family of autoregressive conditional duration models applied to financial data (Q1623666) (← links)
• Microstructure models with short-term inertia and stochastic volatility (Q1665369) (← links)
• Generalized Birnbaum-Saunders kernel density estimators and an analysis of financial data (Q1800055) (← links)
• Financial econometrics: Past developments and future challenges (Q1841086) (← links)
• Financial econometrics -- a new discipline with new methods. (With comments) (Q1841087) (← links)
• Modeling the interdependence of volatility and inter-transaction duration processes. (Q1858921) (← links)
• GARCH and irregularly spaced data (Q1929030) (← links)
• A trend-switching financial time series model with level-duration dependence (Q1954678) (← links)
• Trade duration risk in subdiffusive financial models (Q2137643) (← links)
• A simple R-estimation method for semiparametric duration models (Q2227067) (← links)
• Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics (Q2322052) (← links)
• Evaluating financial time series models for irregularly spaced data: a spectral density approach (Q2384591) (← links)
• Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
• Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← 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)
• Functional data analysis for cash flow and transactions intensity continuous-time prediction using Hilbert-valued autoregressive processes (Q2464245) (← links)
• Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price (Q2492810) (← links)
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (Q2516623) (← links)