Econometrics of financial high-frequency data
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autoregressive conditional duration modelsfinancialfinancial durationhigh-frequency dataintensity modelsliquiditymultiplicative error modelspoint processvolatility
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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- High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
- Data-driven estimation of diurnal patterns of durations between trades on financial markets
- Estimation of the stochastic leverage effect using the Fourier transform method
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- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
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- Econometric analysis of financial transaction data: pitfalls and opportunities
- Econometric modelling of stock market intraday activity.
- A generalized least squares estimation method for the autoregressive conditional duration model
- Nonstationary autoregressive conditional duration models
- Integer-valued Lévy processes and low latency financial econometrics
- A review of the modeling development of high frequency time series
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- Robust estimation of a high-dimensional integrated covariance matrix
- Specification tests for multiplicative error models
- Extension and verification of the asymmetric autoregressive conditional duration models
- Dilemmas of robust analysis of economic data streams
- High-Frequency Volatility and Liquidity
- scientific article; zbMATH DE number 5480761 (Why is no real title available?)
- Extracting information from mega‐panels and high‐frequency data
- Performance of information criteria for selection of Hawkes process models of financial data
- Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market
- Profiling high-frequency equity price movements in directional changes
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
- Latency and liquidity provision in a limit order book
- The Econometrics of Ultra-high-frequency Data
- The econometrics of high-frequency data
- Statistics and high-frequency data
- Complex correlation approach for high frequency financial data
- Periodic autoregressive conditional duration
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Adaptive Lasso for vector multiplicative error models
- On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
- Flexible statistical modelling of the occurrences of transcription factor binding sites along a DNA sequence
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Implicit transaction costs and the fundamental theorems of asset pricing
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- Review of statistical approaches for modeling high-frequency trading data
- A class of minimum distance estimators in Markovian multiplicative error models
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- Inheritance of strong mixing and weak dependence under renewal sampling
- A higher-order correct fast moving-average bootstrap for dependent data
- On an independent-switching periodic autoregressive conditional duration
- Tail behavior of ACD models and consequences for likelihood-based estimation
- A new look at variance estimation based on low, high and closing prices taking into account the drift
- Online estimation methods for irregular autoregressive models
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- Ole Eiler Barndorff-Nielsen and financial econometrics
- Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
- Copula hurdle GARCH models for multivariate non-negative time series
- Hurdle GARCH models for nonnegative time series
- Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
- Separating information maximum likelihood method for high-frequency financial data
- A beta prime ARMA model for positive time series
- Beyond the mean: limit theory and tests for infinite-mean autoregressive conditional durations
- Special feature: Statistics for high-frequency data
- Econometric analysis of high frequency data
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