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Kaden, Sven [Author] ; Technische Universität Dresden

Analyse inhomogener Zeitreihen : eine Untersuchung des Informationsflusses im Fall von zweitnotierten Aktien mit autoregressiven bedingten Wartezeitmodellen auf Basis ultra-hochfrequenter Daten

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Dresden, 10.12.2019
Baran, Ümit Altay [Author]; Karahan, Cenk C. [Author]

Investigation of the Trade Durations with Autoregressive Conditional Duration Model : Evidence from Borsa Istanbul

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[S.l.]: SSRN, 2023
Blasques, Francisco [Author]; Koopman, Siem Jan [Author]; Lasak, Katarzyna [Author]; Lucas, André [Author]

In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

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Amsterdam and Rotterdam: Tinbergen Institute, 2015
Dong, Yingjie [Author]; Tse, Yiu-Kuen [Author]

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

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Basel: MDPI, 2017
Pacurar, Maria [Author]

Autoregressive Conditional Duration (Acd) Models in Finance : A Survey of the Theoretical and Empirical Literature

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[S.l.]: SSRN, [2006]
Blasques, Francisco [Author]; Koopman, Siem Jan [Author]; Lasak, Katarzyna [Author]; Lucas, André [Author]

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

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Amsterdam and Rotterdam: Tinbergen Institute, 2015
Blasques, Francisco [Author]; Hol´y, Vladimír [Author]; Tomanová, Petra [Author]

Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros

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Amsterdam and Rotterdam: Tinbergen Institute, 2019
Małecka, Marta [Author]

Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

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New York: Exeley, 2021
Małecka, Marta [Author]

Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

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2021

Published in: Statistics in transition ; 22(2021), 1 vom: März, Seite 145-162
Peitz, Christian [Author]

Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten - [1. Aufl. 2016]

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Wiesbaden: Springer Gabler, 2016

Published in: SpringerLink ; Bücher
Herrera, Rodrigo [Author]; Schipp, Bernhard [Author]

Extreme value models in a conditional duration intensity framework

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Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2011
Meitz, Mika [Author]; Teräsvirta, Timo [Author]

Evaluating models of autoregressive conditional duration

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Stockholm: Stockholm School of Economics, The Economic Research Institute (EFI), 2004
Cunha, Danúbia R. [Author]; Vila, Roberto [Author]; Saulo, Helton [Author]; Fernandez, Rodrigo Nobre [Author]

A general family of autoregressive conditional duration models applied to high-frequency financial data

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Basel: MDPI, 2020
Hong, Yongmiao [Author] ; Lee, Yoon-Jin [Other]

Detecting Misspecifications in Autoregressive Conditional Duration Models

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[S.l.]: SSRN, [2007]

Published in: CAEPR Working Paper ; No. 2007-019
Hautsch, Nikolaus [Author]

Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

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[S.l.]: SSRN, 2006

Published in: University of Copenhagen Discussion Paper
Saart, Patrick [Author]; Gao, Jiti [Author]

An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models

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[S.l.]: SSRN, 2012
Saart, Patrick [Author] ; Gao, Jiti [Other]; Allen, David E. [Other]

Semiparametric Autoregressive Conditional Duration Model : Theory and Practice

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[S.l.]: SSRN, [2012]
Saart, Patrick [Author] ; Gao, Jiti [Other]; Allen, David E. [Other]

Semiparametric Autoregressive Conditional Duration Model : Theory and Practice

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[S.l.]: SSRN, [2012]
Russell, Jeffrey R. [Author] ; Engle, Robert F. [Other]

Forecasting Transaction Rates : The Autoregressive Conditional Duration Model

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[S.l.]: SSRN, [2010]

Published in: NBER Working Paper ; No. w4966
Fernandes, Marcelo [Other]; Medeiros, Marcelo C. [Other]; Veiga, Alvaro [Other]

A (semi-)parametric functional coefficient autoregressive conditional duration model

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Rio de Janeiro: Dep. de Economía, PUC-RIO, Dec. 2006

Published in: Pontifícia Universidade Católica do Rio de Janeiro: Texto para discussão ; 535

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