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Autoregressive Conditional Duration (Acd) Models in Finance : A Survey of the Theoretical and Empirical Literature
Pacurar, Maria - 2006
This paper provides an up-to-date survey of the main theoretical developments in ACD modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of...
Persistent link: https://www.econbiz.de/10012732848
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On the Properties of Regression Tests of Asset Return Predictability
Velasco, Carlos - 2011
suffer from lack of power in local-to-unity models for the regressor persistence. The main reason is that the near …
Persistent link: https://www.econbiz.de/10013132892
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Extreme value models in a conditional duration intensity framework
Herrera, Rodrigo; Schipp, Bernhard - 2011
The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...
Persistent link: https://www.econbiz.de/10009009682
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A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data
Vuorenmaa, Tommi A. - 2011
This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...
Persistent link: https://www.econbiz.de/10013118929
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High-Frequency Volatility Modelling : A Markov-Switching Autoregressive Conditional Intensity Model
Li, Yifan - 2019
We develop a Markov-Switching Autoregressive Conditional Intensity (MS-ACI) model with time-varying transitional parameters, and show that it can be reliably estimated via the Stochastic Approximation Expectation-Maximization algorithm. Applying our model to high-frequency transaction data, we...
Persistent link: https://www.econbiz.de/10012903299
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What Is the Conditional Autocorrelation on the Stock Market?
Chabi-Yo, Fousseni - 2019
We derive lower and upper bounds on the conditional market autocorrelation index at various investment horizons without … bound on the market conditional autocorrelation index. The upper bound on the market conditional autocorrelation index is … autocorrelation index is -14%. We also document that periods of extremely negative market conditional autocorrelation index coincide …
Persistent link: https://www.econbiz.de/10012858982
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Forecasting the realized variance in the presence of intraday periodicity
Dumitru, Ana-Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...
Persistent link: https://www.econbiz.de/10012063222
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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 model based on a continuous distribution omitting frequent zero values. Zero durations can be caused by either split transactions or independent transactions. We propose a...
Persistent link: https://www.econbiz.de/10011954223
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Can Autoregressive Betas Account for the Statistical Properties of Stock Returns?
Kourogenis, Nikolaos - 2010
This paper analyzes the implications of autoregressive betas in single factor models for the statistical properties of stock returns. It is demonstrated that this assumption alone is sufficient to account for the most important stylized facts of stock returns, namely conditional...
Persistent link: https://www.econbiz.de/10013149583
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Stock Return Autocorrelations Revisited : A Quantile Regression Approach
Baur, Dirk G. - 2012
The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...
Persistent link: https://www.econbiz.de/10013113215