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Autoregressive conditional duration models in finance : a survey of the theoretical and empirical literature
Pacurar, Maria - In: Journal of economic surveys 22 (2008) 4, pp. 711-751
Persistent link: https://www.econbiz.de/10003748679
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A trend factor : Any economic gains from using information over investment horizons?
Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375
Persistent link: https://www.econbiz.de/10011590910
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The endogenous Kalman Filter
Baxter, Brad (contributor); Graham, Liam (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003576397
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The Endogenous Kalman Filter
Baxter, Brad; Graham, Liam; Wright, Stephen H. - 2007
We relax the assumption of full information that underlies most dynamic general equilibrium models, and instead assume agents optimally form estimates of the states from an incomplete information set. We derive a version of the Kalman filter that is endogenous to agents' optimising decisions,...
Persistent link: https://www.econbiz.de/10014051392
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Filtration enlargement-based time series forecast in view of insider trading
Bennett, Luke M.; Hu, Wei - In: Journal of economic surveys 37 (2023) 1, pp. 112-140
Persistent link: https://www.econbiz.de/10014287808
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Trade timing, price volatility and serial correlation
Wang, Ming-chang; Zu, Lon-ping - In: European financial management : the journal of the … 19 (2013) 5, pp. 911-934
Persistent link: https://www.econbiz.de/10010237351
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A family of autoregressive conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2001
Persistent link: https://www.econbiz.de/10001640351
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A family of autoregressive conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 130 (2006) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10003228621
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Information-Based Trading and Autocorrelation in Individual Stock Returns
Yin, Xiangkang - 2016
return autocorrelation. But return is more likely to reverse itself on days with continuous trading due to investor … disagreement, leading return autocorrelation to be more negative. Contrarian trading strategies conditional on daily measures of …
Persistent link: https://www.econbiz.de/10013003395
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Information-Based Trading and Autocorrelation in Individual Stock Returns
Yin, Xiangkang - 2016
return autocorrelation. But return is more likely to reverse itself on days with continuous trading on dispersion in beliefs …, leading return autocorrelation to be more negative. Contrarian trading strategies conditional on daily measures of investment …
Persistent link: https://www.econbiz.de/10013003995