Pages that link to "Item:Q2439048"

The following pages link to The stochastic conditional duration model: a latent variable model for the analysis of financial durations (Q2439048):

Displaying 43 items.

• Nonparametric specification tests for conditional duration models (Q262795) (← links)
• A family of autoregressive conditional duration models (Q269391) (← links)
• Parameter change test for autoregressive conditional duration models (Q287530) (← links)
• Product autoregressive models for non-negative variables (Q449010) (← links)
• A Bayesian chi-squared test for hypothesis testing (Q496143) (← links)
• Fitting a two phase threshold multiplicative error model (Q515143) (← links)
• The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
• Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (Q665816) (← links)
• Bayesian estimation and inference for log-ACD models (Q736572) (← links)
• Feasible parameter regions for alternative discrete state space models (Q956374) (← links)
• Bayesian analysis of the stochastic conditional duration model (Q959312) (← links)
• Econometric analysis of financial trade processes by discrete mixture duration models (Q959753) (← links)
• Efficient importance sampling for ML estimation of SCD models (Q961389) (← links)
• Nonparametric density estimation for positive time series (Q962247) (← links)
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks (Q993813) (← links)
• Intraday trade and quote dynamics: A Cox regression analysis (Q1013159) (← links)
• Parameterisation and efficient MCMC estimation of non-Gaussian state space models (Q1023621) (← links)
• Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market (Q1025337) (← links)
• Deciding between GARCH and stochastic volatility via strong decision rules (Q1044073) (← links)
• Entropy test and residual empirical process for autoregressive conditional duration models (Q1663317) (← links)
• Modeling dynamic effects of promotion on interpurchase times (Q1927091) (← links)
• A trend-switching financial time series model with level-duration dependence (Q1954678) (← links)
• Goodness-of-fit tests in conditional duration models (Q2175644) (← links)
• Generalized duration models and optimal estimation using estimating functions (Q2255169) (← links)
• Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics (Q2322052) (← links)
• Evaluating financial time series models for irregularly spaced data: a spectral density approach (Q2384591) (← links)
• Stochastic volatility duration models (Q2439049) (← links)
• The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics (Q2440157) (← links)
• The dynamic mixed hitting-time model for multiple transaction prices and times (Q2451776) (← links)
• A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090) (← links)
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438) (← links)
• A QUASI-LOCALLY MOST POWERFUL TEST FOR CORRELATION IN THE CONDITIONAL VARIANCE OF POSITIVE DATA (Q2802749) (← links)
• A BAYESIAN SIMULATION APPROACH TO INFERENCE ON A MULTI-STATE LATENT FACTOR INTENSITY MODEL (Q2892458) (← links)
• The impact of transaction duration, volume and direction on price dynamics and volatility (Q3169221) (← links)
• Extension and verification of the asymmetric autoregressive conditional duration models (Q3174924) (← links)
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY (Q3181946) (← links)
• LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS (Q3191830) (← links)
• Structural break detection in financial durations (Q4627118) (← links)
• Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
• A class of minimum distance estimators in Markovian multiplicative error models (Q6108880) (← links)
• Efficient data augmentation techniques for some classes of state space models (Q6111471) (← links)
• Bellman filtering and smoothing for state-space models (Q6193073) (← links)