Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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Cited in
(only showing first 100 items - show all)- Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
- Retrospective change detection for binary time series models
- Feasible parameter regions for alternative discrete state space models
- The impact of transaction duration, volume and direction on price dynamics and volatility
- A misspecification test for multiplicative error models of non-negative time series processes
- Modelling time series of counts with overdispersion
- Statistical inference for oscillation processes
- Semiparametric autoregressive conditional duration model: theory and practice
- A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
- Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data
- Econometric analysis of financial transaction data: pitfalls and opportunities
- Some computational aspects of Gaussian CARMA modelling
- Forecasting trade durations via ACD models with mixture distributions
- Testing for parameter constancy in non-Gaussian time series
- Analysing liquidity and absorption limits of electronic markets with volume durations
- Testing weak exogeneity in multiplicative error models
- Relative volume as a doubly stochastic binomial point process
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
- Nonparametric specification tests for conditional duration models
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations
- A family of autoregressive conditional duration models
- Evaluating multiplicative error models: a residual-based approach
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- On estimating the nonparametric multiplicative error models
- Hierarchical modeling of irregularly spaced financial returns
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- The next tick on Nasdaq
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Bayesian analysis of the stochastic conditional duration model
- Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
- Modeling maxima with autoregressive conditional Fréchet model
- The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics
- Stationarity and ergodicity of univariate generalized autoregressive score processes
- Microstructure models with short-term inertia and stochastic volatility
- Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange
- Modelling Concurrency of Events in On-Line Auctions via Spatiotemporal Semiparametric Models
- Dynamic quantile models
- Modeling financial durations using penalized estimating functions
- Stochastic volatility models for ordinal-valued time series with application to finance
- Useful models for time series of counts or simply wrong ones?
- Mixtures of compound Poisson processes as models of tick-by-tick financial data
- Archimedean copulas and temporal dependence
- 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
- The limits of statistical significance of Hawkes processes fitted to financial data
- A comment on: ``Autoregressive conditional duration: a new model for irregularly spaced transaction data
- scientific article; zbMATH DE number 7587392 (Why is no real title available?)
- Generalized autoregressive moving average models with GARCH errors
- Bayesian inference of asymmetric stochastic conditional duration models
- Multivariate additive subordination with applications in finance
- Volatility return intervals analysis of the Japanese market
- Volatility forecasting using stochastic conditional range model with leverage effect
- Birnbaum-Saunders autoregressive conditional range model applied to stock index data
- A long-memory integer-valued time series model, INARFIMA, for financial application
- Modelling microstructure noise with mutually exciting point processes
- Nonparametric density estimation for positive time series
- Quantifying and understanding the economics of large financial movements
- Time series of count data: Modeling, estimation and diagnostics
- Bounds for the probability distribution function of the linear ACD process
- A multiplicative thinning‐based integer‐valued GARCH model
- Bootstrap prediction intervals for autoregressive conditional duration models
- Latent Network Structure Learning From High-Dimensional Multivariate Point Processes
- A Smooth Transition Autoregressive Conditional Duration Model
- An efficient nonparametric estimator for models with nonlinear dependence
- A moment closed form estimator for the autoregressive conditional duration model
- Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model
- Decision-making in incomplete markets with ambiguity -- a case study of a gas field acquisition
- Maximum likelihood estimation for score-driven models
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Estimating Hazard Functions for Discrete Lifetimes
- Representation learning for dynamic graphs: a survey
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Generative-discriminative machine learning models for high-frequency financial regime classification
- Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
- Count and duration time series with equal conditional stochastic and mean orders
- Specification tests for multiplicative error models
- Residual-based rank specification tests for AR-GARCH type models
- Realistic Statistical Modelling of Financial Data
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Forecasting extreme negative returns in gold and silver: a discrete-duration approach to POT models
- Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
- Diagnostic checking of the vector multiplicative error model
- Modelling of limit order books by general compound Hawkes processes with implementations
- Volatility, risk modeling and utility
- Location multiplicative error models with quasi maximum likelihood estimation
- Bootstrap inference for Hawkes and general point processes
- Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
- Multivariate self-exciting jump processes with applications to financial data
- On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws
- Parameter change test for autoregressive conditional duration models
- Self-weighted quantile estimation of autoregressive conditional duration model
- A goodness-of-fit test for a class of autoregressive conditional duration models
- Detecting discrete processes with the Epps effect
- Modeling and forecasting persistent financial durations
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