Pages that link to "Item:Q1858921"
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The following pages link to Modeling the interdependence of volatility and inter-transaction duration processes. (Q1858921):
Displaying 16 items.
- Nonparametric specification tests for conditional duration models (Q262795) (← links)
- Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187) (← links)
- Causality effects in return volatility measures with random times (Q737283) (← links)
- Nonparametric density estimation for positive time series (Q962247) (← links)
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks (Q993813) (← links)
- Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (Q1025337) (← links)
- A trend-switching financial time series model with level-duration dependence (Q1954678) (← links)
- Parametric inference for diffusions observed at stopping times (Q2188470) (← links)
- Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations (Q2439048) (← links)
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438) (← links)
- REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data (Q4555122) (← links)
- Testing weak exogeneity in multiplicative error models (Q4555167) (← links)
- Time-Deformation Modeling of Stock Returns Directed by Duration Processes (Q5080519) (← links)
- A class of minimum distance estimators in Markovian multiplicative error models (Q6108880) (← links)
