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Search: subject:"autoregressive conditional duration"
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autoregressive conditional duration
13
Autoregressive Conditional Duration
12
Schätzung
9
Estimation
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8
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7
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delta-method
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Autoregressive conditional duration
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Autoregressive Conditional Duration Model
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diurnal duration patterns
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generalized autoregressive conditional heteroskedasticity
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iterative plug-in
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local linear estimator
3
score driven models
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time-varying mean
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transaction data
3
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Blasques, Francisco
7
Koopman, Siem Jan
5
Lucas, André
5
Peitz, Christian
4
Feng, Yuanhua
3
Lanne, Markku
3
Lasak, Katarzyna
3
Tay, Anthony
3
Ting, Christopher
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3
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3
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2
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2
Herrera, Rodrigo
2
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2
Manganelli, Simone
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Schipp, Bernhard
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2
Tse, Yiu-Kuen
2
Wellner, Marc
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Łasak, Katarzyna
2
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Deo, Rohit
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RePEc
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ECONIS (ZBW)
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EconStor
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1
Zero-Inflated
Autoregressive
Conditional
Duration
Model for Discrete Trade Durations with Excessive Zeros
Blasques, Francisco
;
Hol´y, Vladimír
;
Tomanová, Petra
-
2019
In finance, durations between successive transactions are usually modelled by the
autoregressive
conditional
duration
…
Persistent link: https://www.econbiz.de/10012114757
Saved in:
2
Zero-inflated
autoregressive
conditional
duration
model for discrete trade durations with excessive zeros
Blasques, Francisco
;
Holý, Vladimír
;
Tomanová, Petra
-
2019
In finance, durations between successive transactions are usually modelled by the
autoregressive
conditional
duration
…
Persistent link: https://www.econbiz.de/10011954223
Saved in:
3
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
; …
-
Tinbergen Instituut
-
2015
heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences between the actual coverage …
Persistent link: https://www.econbiz.de/10011256671
Saved in:
4
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
; …
-
2015
autoregressive conditional heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences …
Persistent link: https://www.econbiz.de/10011403547
Saved in:
5
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lasak, Katarzyna
; …
-
2015
heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences between the actual coverage …
Persistent link: https://www.econbiz.de/10010491409
Saved in:
6
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
-
2015
autoregressive conditional heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences …
Persistent link: https://www.econbiz.de/10011295703
Saved in:
7
In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
-
2015
heteroskedasticity and
autoregressive
conditional
duration
models. Our results show clear differences between the actual coverage …
Persistent link: https://www.econbiz.de/10010484891
Saved in:
8
Analyse inhomogener Zeitreihen : eine Untersuchung des Informationsflusses im Fall von zweitnotierten Aktien mit autoregressiven bedingten Wartezeitmodellen auf Basis ultra-hochfre...
Kaden, Sven
-
2019
Persistent link: https://www.econbiz.de/10012196302
Saved in:
9
On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
Feng, Yuanhua
;
Forstinger, Sarah
;
Peitz, Christian
-
Department Volkswirtschaftslehre, Fachbereich für …
-
2013
diurnal duration pattern in a recently proposed semiparametric
autoregressive
conditional
duration
(SemiACD) model. For this …
Persistent link: https://www.econbiz.de/10010826834
Saved in:
10
On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
Feng, Yuanhua
;
Forstinger, Sarah
;
Peitz, Christian
-
2013
Persistent link: https://www.econbiz.de/10010194478
Saved in:
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