Non‐monotonic hazard functions and the autoregressive conditional duration model
From MaRDI portal
Publication:4762171
DOI10.1111/1368-423X.00037zbMath1038.91523MaRDI QIDQ4762171
Kai-Oliver Maurer, Joachim Grammig
Publication date: 2000
Published in: The Econometrics Journal (Search for Journal in Brave)
hazard functionBurr distributionmarket microstructureautoregressive conditional duration modelself-exciting point processfinancial transaction dataprice durations
Related Items
Modeling financial durations using penalized estimating functions ⋮ On Fréchet autoregressive conditional duration models ⋮ A moment closed form estimator for the autoregressive conditional duration model ⋮ Maximum likelihood estimates for positive valued dynamic score models; the DySco package ⋮ A family of autoregressive conditional duration models applied to financial data ⋮ The impact of transaction duration, volume and direction on price dynamics and volatility ⋮ Extension and verification of the asymmetric autoregressive conditional duration models ⋮ A generalized least squares estimation method for the autoregressive conditional duration model ⋮ Evaluating financial time series models for irregularly spaced data: a spectral density approach ⋮ The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data ⋮ A new approach to risk-return trade-off dynamics via decomposition ⋮ On estimating the nonparametric multiplicative error models ⋮ Frequency and severity estimation of cyber attacks using spatial clustering analysis ⋮ Goodness-of-fit tests in conditional duration models ⋮ A misspecification test for multiplicative error models of non-negative time series processes ⋮ A class of minimum distance estimators in Markovian multiplicative error models ⋮ Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process ⋮ Tail behavior of ACD models and consequences for likelihood-based estimation ⋮ Density forecast of financial returns using decomposition and maximum entropy ⋮ Forecasting trade durations via ACD models with mixture distributions ⋮ The stochastic conditional duration model: a latent variable model for the analysis of financial durations ⋮ A trend-switching financial time series model with level-duration dependence ⋮ The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ A semiparametric conditional duration model ⋮ Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration ⋮ Additive Outlier Detection and Estimation for the Logarithmic Autoregressive Conditional Duration Model ⋮ A minimum distance lack-of-fit test in a Markovian multiplicative error model ⋮ Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty ⋮ Econometric analysis of financial trade processes by discrete mixture duration models ⋮ Inverse Gaussian Distribution for Modeling Conditional Durations in Finance ⋮ Birnbaum-Saunders autoregressive conditional duration models applied to high-frequency financial data ⋮ Bounds for the probability distribution function of the linear ACD process ⋮ A nonlinear autoregressive conditional duration model with applications to financial transaction data ⋮ The Birnbaum-Saunders autoregressive conditional duration model ⋮ Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models ⋮ Regime-switching Pareto distributions for ACD models ⋮ Intraday trade and quote dynamics: A Cox regression analysis ⋮ On the interday homogeneity in the intraday rate of trading ⋮ Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market ⋮ On a quantile autoregressive conditional duration model ⋮ Power-law behaviour in time durations between extreme returns ⋮ Multivariate Return Decomposition: Theory and Implications ⋮ Semiparametric Autoregressive Conditional Duration Model: Theory and Practice ⋮ Modeling the interdependence of volatility and inter-transaction duration processes. ⋮ Modeling and forecasting persistent financial durations ⋮ Nonparametric specification tests for conditional duration models
