The dynamic mixed hitting-time model for multiple transaction prices and times
DOI10.1016/J.JECONOM.2014.01.009zbMATH Open1293.91198OpenAlexW3123855120MaRDI QIDQ2451776FDOQ2451776
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
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Generalization of GMM to a continuum of moment conditions
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Hierarchical mixtures-of-experts for exponential family regression models: Approximation and maximum likelihood estimation
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
- The Econometrics of Ultra-high-frequency Data
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- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Stochastic volatility duration models
- Statistical Properties of Inverse Gaussian Distributions. I
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
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- Causality effects in return volatility measures with random times
- A Markov-switching multifractal inter-trade duration model, with application to US equities
- Jump-robust volatility estimation using nearest neighbor truncation
- Randomization in the first hitting time problem
- GARCH and irregularly spaced data
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- Mixed hitting-time models
Cited In (9)
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Linear models for the impact of order flow on prices. II: The mixture transition distribution model
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Durations, volume and the prediction of financial returns in transaction time
- Statistical inference for the doubly stochastic self-exciting process
- 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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