The dynamic mixed hitting-time model for multiple transaction prices and times
From MaRDI portal
Publication:2451776
DOI10.1016/j.jeconom.2014.01.009zbMath1293.91198OpenAlexW3123855120MaRDI QIDQ2451776
Thijs van der Heijden, Eric Renault, 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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items
Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ Modelling Asset Prices for Algorithmic and High-Frequency Trading ⋮ Estimation of integrated quadratic covariation with endogenous sampling times ⋮ Statistical inference for the doubly stochastic self-exciting process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Jump-robust volatility estimation using nearest neighbor truncation
- Causality effects in return volatility measures with random times
- Randomization in the first hitting time problem
- Hierarchical mixtures-of-experts for exponential family regression models: Approximation and maximum likelihood estimation
- GARCH and irregularly spaced data
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Stochastic volatility duration models
- A Markov-switching multifractal inter-trade duration model, with application to US equities
- GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
- Mixed Hitting-Time Models
- Statistical Properties of Inverse Gaussian Distributions. I
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- The Econometrics of Ultra-high-frequency Data
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
This page was built for publication: The dynamic mixed hitting-time model for multiple transaction prices and times
