Econometric modelling of stock market intraday activity.

zbMATH Open1075.91538MaRDI QIDQ2574142FDOQ2574142

Authors: Luc Bauwens, Pierre Giot 

Publication date: 17 November 2005

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

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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)

Cited In (23)

• 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
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
• Intraday value-at-risk: an asymmetric autoregressive conditional duration approach
• Nonlinear least squares estimation of Log-ACD models
• Realized Quantiles^*
• Dynamic Autoregressive Liquidity (DArLiQ)
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Financial econometric analysis at ultra-high frequency: Data handling concerns
• 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
• Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

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