Modeling the interdependence of volatility and inter-transaction duration processes.
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Cites work
- scientific article; zbMATH DE number 4201448 (Why is no real title available?)
- scientific article; zbMATH DE number 3988509 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 3239078 (Why is no real title available?)
- A Consistent Method for the Selection of Relevant Instruments
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A Stopping Rule for the Computation of Generalized Method of Moments Estimators
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Closing the GARCH gap: Continuous time GARCH modeling
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Empirical modeling of exchange rate dynamics
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
- GMM inference when the number of moment conditions in large
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Large Sample Properties of Generalized Method of Moments Estimators
- Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- Probability density function estimation using gamma kernels
- Regular point processes and their detection
- Spectra of some self-exciting and mutually exciting point processes
- Temporal Aggregation of Garch Processes
- The Econometrics of Ultra-high-frequency Data
Cited in
(18)- Durations, volume and the prediction of financial returns in transaction time
- Time-deformation modeling of stock returns directed by duration processes
- Bootstrap based probability forecasting in multiplicative error models
- A trend-switching financial time series model with level-duration dependence
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
- A class of minimum distance estimators in Markovian multiplicative error models
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
- Testing weak exogeneity in multiplicative error models
- Realized volatility when sampling times are possibly endogenous
- Causality effects in return volatility measures with random times
- Nonparametric density estimation for positive time series
- Parametric inference for diffusions observed at stopping times
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
- Modelling security market events in continuous time: intensity based, multivariate point process models
- The impact of transaction duration, volume and direction on price dynamics and volatility
- Nonparametric specification tests for conditional duration models
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