The dynamic mixed hitting-time model for multiple transaction prices and times

DOI10.1016/J.JECONOM.2014.01.009MaRDI QIDQ2451776zbMATH OpenOpenAlexFDO

Authors Eric Renault, Thijs van der Heijden, Bas J. M. Werker

Publication date 4 June 2014

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.01.009

zbMATH Keywords

hitting timemarket microstructureduration modelingtrading intensity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
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• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• Generalization of GMM to a continuum of moment conditions
• Hierarchical mixtures-of-experts for exponential family regression models: Approximation and maximum likelihood estimation
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Jump-robust volatility estimation using nearest neighbor truncation
• Mixed hitting-time models
• Randomization in the first hitting time problem
• Statistical Properties of Inverse Gaussian Distributions. I
• Stochastic volatility duration models
• The Econometrics of Ultra-high-frequency Data
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

Cited in

(9)

• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
• Modeling the interdependence of volatility and inter-transaction duration processes.
• Linear models for the impact of order flow on prices. II: The mixture transition distribution model
• Statistical inference for the doubly stochastic self-exciting process
• Durations, volume and the prediction of financial returns in transaction time
• Modelling Asset Prices for Algorithmic and High-Frequency Trading
• Estimation of integrated quadratic covariation with endogenous sampling times
• Time-deformation modeling of stock returns directed by duration processes
• Completion time structures of stock price movements

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