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Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - In: Journal of econometrics 106 (2002) 2, pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
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The stochastic conditional duration model : a latent variable model for the analysis of financial durations
Bauwens, Luc; Veredas, David - In: Journal of econometrics 119 (2004) 2, pp. 381-412
Persistent link: https://www.econbiz.de/10001956340
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A nonlinear autoregressive conditional duration model with applications to financial transaction
Zhang, Michael Yuanjie; Russel, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179-207
Persistent link: https://www.econbiz.de/10001589535
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Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion
Bellemare, Charles; Kröger, Sabine; Sossou, Kouamé Marius - In: Journal of econometrics 231 (2022) 1, pp. 248-264
Persistent link: https://www.econbiz.de/10013441984
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How do extended benefits affect unemployment duration? : A regression discontinuity approach
Lalive, Rafael - In: Journal of econometrics 142 (2008) 2, pp. 785-806
Persistent link: https://www.econbiz.de/10003645843
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Estimating the probability of leaving unemployment using uncompleted spells from repeated cross-section data
Güell, Maia; Hu, Luojia - In: Journal of econometrics 133 (2006) 1, pp. 307-341
Persistent link: https://www.econbiz.de/10003354579
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Estimating a semi-parametric duration model without specifying heterogeneity
Hausman, Jerry A.; Woutersen, Tiemen - In: Journal of econometrics 178 (2014) 1, pp. 114-131
Persistent link: https://www.econbiz.de/10010255456
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Estimating the effect of unemployment insurance compensation on the labor market histories of displaced workers
Jurajda, Štěpán - In: Journal of econometrics 108 (2002) 2, pp. 227-252
Persistent link: https://www.econbiz.de/10001657608