Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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Cited in
(only showing first 100 items - show all)- Regime-switching Pareto distributions for ACD models
- Time series of count data: Modeling, estimation and diagnostics
- Intraday trade and quote dynamics: A Cox regression analysis
- On the interday homogeneity in the intraday rate of trading
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
- Deciding between GARCH and stochastic volatility via strong decision rules
- On some properties of autoregressive conditional Poisson (ACP) models
- Accelerating the estimation of renewal Hawkes self-exciting point processes
- Ensemble binary segmentation for irregularly spaced data with change-points
- Likelihood based inference for the multivariate renewal Hawkes process
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- Modeling financial durations using penalized estimating functions
- Maximum likelihood estimates for positive valued dynamic score models; the DySco package
- A family of autoregressive conditional duration models applied to financial data
- Useful models for time series of counts or simply wrong ones?
- Diagnostic checking of the vector multiplicative error model
- Entropy test and residual empirical process for autoregressive conditional duration models
- Microstructure models with short-term inertia and stochastic volatility
- On estimating the nonparametric multiplicative error models
- Accounting for missing values in score-driven time-varying parameter models
- Modeling maxima with autoregressive conditional Fréchet model
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Filtered likelihood for point processes
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Statistical inference for the doubly stochastic self-exciting process
- Bounds for the probability distribution function of the linear ACD process
- Nonlinear least squares estimation of Log-ACD models
- Diagnostic checking of Markov multiplicative error models
- Component ACD model and its application in studying the price-related feedback effect in investor trading behaviors in Chinese stock market
- Financial econometrics: Past developments and future challenges
- Financial econometrics -- a new discipline with new methods. (With comments)
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.
- Modeling dynamic effects of promotion on interpurchase times
- Modelling and forecasting wind speed intensity for weather risk management
- On the residual autocorrelation of the autoregressive conditional duration model
- GARCH estimation and discrete stock prices: an application to low-priced Australian stocks
- On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model
- A multivariate conditional autoregressive range model
- GARCH and irregularly spaced data
- A trend-switching financial time series model with level-duration dependence
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- Clustering of arrivals in queueing systems: autoregressive conditional duration approach
- On a quantile autoregressive conditional duration model
- Maximum likelihood estimation for score-driven models
- Self-weighted quantile estimation of autoregressive conditional duration model
- Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
- Characterization of autoregressive processes using entropic quantifiers
- Frequency and severity estimation of cyber attacks using spatial clustering analysis
- Goodness-of-fit tests in conditional duration models
- Liquidity and volatility in the U.S. Treasury market
- A measure of market volatility based on F-transform
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
- Bootstrap based probability forecasting in multiplicative error models
- A simple R-estimation method for semiparametric duration models
- From tick data to semimartingales
- Modelling of limit order books by general compound Hawkes processes with implementations
- A minimum distance lack-of-fit test in a Markovian multiplicative error model
- A Bayesian semiparametric vector multiplicative error model
- The expected time to cross a threshold and its determinants: a simple and flexible framework
- High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
- Data-driven estimation of diurnal patterns of durations between trades on financial markets
- Generalized duration models and optimal estimation using estimating functions
- A semiparametric additive rate model for a modulated renewal process
- Nonparametric filtering of conditional state-price densities
- Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
- Inference for ETAS models with non-Poissonian mainshock arrival times
- Improving forecasts with the co-range dynamic conditional correlation model
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
- Residual-based rank specification tests for AR-GARCH type models
- Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models
- Evaluating financial time series models for irregularly spaced data: a spectral density approach
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Least absolute deviation estimation of autoregressive conditional duration model
- Editorial: Dynamic factor models
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Stochastic volatility duration models
- The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics
- GARCH models without positivity constraints: exponential or log GARCH?
- The dynamic mixed hitting-time model for multiple transaction prices and times
- A Markov-switching multifractal inter-trade duration model, with application to US equities
- Analytically calibrated Box--Cox percentile limits for duration and event-time models
- Some statistical models for durations and an application to News Corporation stock prices
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
- Econometric analysis of financial transaction data: pitfalls and opportunities
- Modelling time series of counts with overdispersion
- A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs
- Nonparametric specification tests for conditional duration models
- A generalized least squares estimation method for the autoregressive conditional duration model
- Estimation of endogenously sampled time series: the case of commodity price speculation in the steel market
- Nonstationary autoregressive conditional duration models
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