Econometric modelling of stock market intraday activity.

From MaRDI portal
Publication:2574142

zbMath1075.91538MaRDI QIDQ2574142

Pierre Giot, Luc Bauwens

Publication date: 17 November 2005

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




Related Items (18)

Modelling security market events in continuous time: intensity based, multivariate point process modelsA generalized least squares estimation method for the autoregressive conditional duration modelEvaluating financial time series models for irregularly spaced data: a spectral density approachCapturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error modelAnalyzing and forecasting financial series with singular spectral analysisDynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changesThe stochastic conditional duration model: a latent variable model for the analysis of financial durationsSPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELSBootstrap based probability forecasting in multiplicative error modelsEfficient importance sampling for ML estimation of SCD modelsNonparametric density estimation for positive time seriesModel‐based quantification of the volatility of options at transaction level with extended count regression modelsNonlinear least squares estimation of Log-ACD modelsTime-Varying Mixing Weights in Mixture Autoregressive Conditional Duration ModelsFinancial econometric analysis at ultra-high frequency: Data handling concernsStochastic volatility models for ordinal-valued time series with application to financeOn Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density EstimatorsMixed effect models for absolute log returns of ultra high frequency data




This page was built for publication: Econometric modelling of stock market intraday activity.