The impact of transaction duration, volume and direction on price dynamics and volatility
From MaRDI portal
Publication:3169221
DOI10.1080/14697680903405742zbMath1210.91152MaRDI QIDQ3169221
Anthony S. Tay, Mitch Warachka, Christopher Ting, Yiu Kuen Tse
Publication date: 28 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1381
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
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Cites Work
- Nonparametric specification tests for conditional duration models
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Stochastic volatility duration models
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- The Econometrics of Ultra-high-frequency Data
- A nonlinear autoregressive conditional duration model with applications to financial transaction data