long memory, deviations from equilibrium are highly persistent. -- fractional integration ; Efficient Markets Hypothesis …

The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday … pricing processes operating on stock markets into question. Investigating an index series measured at the Frankfurt stock … exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …

arbitrage opportunities for large investors. -- large investor ; feedback effect ; no arbitrage ; illiquid markets ; market …

alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …