Showing 1 - 10 of 63
Persistent link: https://www.econbiz.de/10001378696
A new semiparametric proportional hazard rate model is proposed which extends standard models to include a dynamic specification. Two main problems are resolved in the course of this paper. First, the partial likelihood approach to estimate the components of a standard proportional hazard model...
Persistent link: https://www.econbiz.de/10014123408
In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...
Persistent link: https://www.econbiz.de/10003635084
This paper investigates the time between transactions on financial markets. It is assumed that the interval between transactions is a random variable and the relationship between the probability to observe a transaction at each instant of time and the type of the previous trade is investigated....
Persistent link: https://www.econbiz.de/10011545007
In this paper, we suggest and evaluate specification tests to test the validity of the conditional mean function implied by Autoregressive Conditional Duration (ACD) models. We propose Lagrange multiplier tests against sign bias alternatives, various types of conditional moment tests and...
Persistent link: https://www.econbiz.de/10014053884
In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on...
Persistent link: https://www.econbiz.de/10014054570
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10009526607
Persistent link: https://www.econbiz.de/10001928231
This book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways...
Persistent link: https://www.econbiz.de/10013519394
Persistent link: https://www.econbiz.de/10009513031