Long memory in intertrade durations, counts and realized volatility of NYSE stocks
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- scientific article; zbMATH DE number 3911541 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- scientific article; zbMATH DE number 3188884 (Why is no real title available?)
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A limit theory for long-range dependence and statistical inference on related models
- A simple general approach to inference about the tail of a distribution
- AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
- Estimating Long Memory in Volatility
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
- Generalized autoregressive conditional heteroscedasticity
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Log-periodogram regression of time series with long range dependence
- Long-range dependent point processes and their Palm-Khinchin distributions
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Multivariate Stochastic Variance Models
- ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Distribution of Realized Exchange Rate Volatility
- The detection and estimation of long memory in stochastic volatility
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
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 unified approach to self-normalized block sampling
- A goodness-of-fit test for a class of autoregressive conditional duration models
- Modeling and forecasting persistent financial durations
- Limit laws in transaction-level asset price models
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
- Drift in transaction-level asset price models
- 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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