Modeling the interdependence of volatility and inter-transaction duration processes.

DOI10.1016/S0304-4076(01)00105-1zbMath1040.62094MaRDI QIDQ1858921

Marc Wellner, Joachim Grammig

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

financial market microstructureinter-trade duration and volatilityultra-high-frequency data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items (16)

Modelling security market events in continuous time: intensity based, multivariate point process models ⋮ The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data ⋮ Testing weak exogeneity in multiplicative error models ⋮ REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS ⋮ Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model ⋮ Time-Deformation Modeling of Stock Returns Directed by Duration Processes ⋮ Parametric inference for diffusions observed at stopping times ⋮ A class of minimum distance estimators in Markovian multiplicative error models ⋮ The stochastic conditional duration model: a latent variable model for the analysis of financial durations ⋮ A trend-switching financial time series model with level-duration dependence ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Nonparametric density estimation for positive time series ⋮ Long memory in intertrade durations, counts and realized volatility of NYSE stocks ⋮ Causality effects in return volatility measures with random times ⋮ Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market ⋮ Nonparametric specification tests for conditional duration models

Uses Software

• nlmdl

Cites Work

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