Long memory in intertrade durations, counts and realized volatility of NYSE stocks
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Publication:993813
DOI10.1016/J.JSPI.2010.04.037zbMATH Open1404.62103OpenAlexW2052514491MaRDI QIDQ993813FDOQ993813
Authors: Clifford Hurvich, Rohit Deo, Meng-Chen Hsieh 
Publication date: 20 September 2010
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.037
Recommendations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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- Estimating Long Memory in Volatility
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- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
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Cited In (16)
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Bayesian inference of asymmetric stochastic conditional duration models
- A goodness-of-fit test for a class of autoregressive conditional duration models
- Modeling and forecasting persistent financial durations
- A unified approach to self-normalized block sampling
- Limit laws in transaction-level asset price models
- Drift in transaction-level asset price models
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
- Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models
- Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
- LONG MEMORY IN STOCK TRADING
- Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Review of statistical approaches for modeling high-frequency trading data
- A Markov-switching multifractal inter-trade duration model, with application to US equities
- Determinants of the Long Term Excess Performance of American Depository Receipts Listed on the New York Stock Exchange
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