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~person:"Ting, Christopher"
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Search: subject:"autoregressive conditional duration"
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Autoregressive Conditional Duration
3
Market Microstructure
2
Transaction Data
2
Weibull Distribution
2
Informed Trading
1
Market microstructure
1
Probability of Informed Trading
1
Probability of informed Trading
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Ting, Christopher
Blasques, Francisco
8
Koopman, Siem Jan
6
Lucas, André
6
Tse, Yiu Kuen
6
Herrera, Rodrigo
5
Dong, Yingjie
4
Lanne, Markku
4
Peitz, Christian
4
Tse, Yiu-Kuen
4
Feng, Yuanhua
3
Grammig, Joachim
3
Jokivuolle, Esa
3
Lasak, Katarzyna
3
Schipp, Bernhard
3
Tay, Anthony
3
Tomanová, Petra
3
Warachka, Mitch
3
Łasak, Katarzyna
3
Bowe, Michael
2
Diana, Tony
2
Forstinger, Sarah
2
Gallo, Giampiero
2
González, Nicolás
2
Holý, Vladimír
2
Huptas, Roman
2
Hyde, Stuart
2
Liu, Shouwei
2
Luca, Giovanni De
2
Manganelli, Simone
2
Małecka, Marta
2
McFarlane, Lavern
2
Pacurar, Maria
2
Peiris, Shelton
2
Pohlmeier, Winfried
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Wellner, Marc
2
Wu, Zhengxiao
2
Abid, Fathi
1
Aknouche, Abdelhakim
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Allen, David
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School of Economics, Singapore Management University
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East Asian Bureau of Economic Research (EABER)
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Working Papers / School of Economics, Singapore Management University
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Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading
Tay, Anthony
;
Ting, Christopher
;
Tse, Yiu Kuen
; …
-
East Asian Bureau of Economic Research (EABER)
-
2007
This paper implements the Asymmetric
Autoregressive
Conditional
Duration
(AACD) model of Bauwens and Giot (2003) to …
Persistent link: https://www.econbiz.de/10009365398
Saved in:
2
Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading
Tay, Anthony
;
Ting, Christopher
;
Tse, Yiu Kuen
; …
-
School of Economics, Singapore Management University
-
2007
This paper implements the Asymmetric
Autoregressive
Conditional
Duration
(AACD) model of Bauwens and Giot (2003) to …
Persistent link: https://www.econbiz.de/10005006758
Saved in:
3
Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure
Tay, Anthony
;
Ting, Christopher
;
Tse, Yiu Kuen
; …
-
School of Economics, Singapore Management University
-
2004
transaction data. Based on the
Autoregressive
Conditional
Duration
(ACD) model, the ACMD model assigns marks to characterize …
Persistent link: https://www.econbiz.de/10005091215
Saved in:
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