Econometric modelling of stock market intraday activity.

MaRDI QIDQ2574142zbMATH OpenFDO

Authors Luc Bauwens, Pierre Giot

Publication date 17 November 2005

Published in Advanced Studies in Theoretical and Applied Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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Cited in

(23)

• Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
• Mixed effect models for absolute log returns of ultra high frequency data
• Stochastic volatility models for ordinal-valued time series with application to finance
• The econometrics of sequential trade models. Theory and applications using high frequency data.
• Nonparametric density estimation for positive time series
• Specification tests for multiplicative error models
• On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
• Model‐based quantification of the volatility of options at transaction level with extended count regression models
• Bootstrap based probability forecasting in multiplicative error models
• A generalized least squares estimation method for the autoregressive conditional duration model
• Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes
• Evaluating financial time series models for irregularly spaced data: a spectral density approach
• Intraday value-at-risk: an asymmetric autoregressive conditional duration approach
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
• Nonlinear least squares estimation of Log-ACD models
• Realized Quantiles^*
• Dynamic Autoregressive Liquidity (DArLiQ)
• Financial econometric analysis at ultra-high frequency: Data handling concerns
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Efficient importance sampling for ML estimation of SCD models
• Analyzing and forecasting financial series with singular spectral analysis
• Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market
• Modelling security market events in continuous time: intensity based, multivariate point process models

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