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Stochastic conditional duration model with intraday seasonality and limit order book information

Toyabe, Tomoki; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25

It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...

Persistent link: https://www.econbiz.de/10013471159

Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility

Mertens, Elmar; Nason, James Michael - 2017 - Revised version

Persistent link: https://www.econbiz.de/10011746888

Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility

Mertens, Elmar; Nason, James Michael - 2018 - Current draft: February 16, 2018

Persistent link: https://www.econbiz.de/10011867086

A flexible approach to parametric inference in nonlinear time series models

Koop, Gary (contributor); Potter, Simon M. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003519806

Bayesian near-boundary analysis in basic macroeconomic time series models

Pooter, Michiel de; Ravazzolo, Francesco; Segers, Rene; … - 2008

Persistent link: https://www.econbiz.de/10003754318

A Bayesian heterogeneous coefficients spatial autoregressive panel data model of retail fuel price rivalry

Lesage, James P.; Vance, Colin; Chih, Yao-Yu - 2016

We apply a heterogenous coefficient spatial autoregressive panel model from Aquaro, Bailey and Pesaran (2015) to explore competition/cooperation by Berlin fueling stations in setting prices for diesel and E5 fuel. Unlike the maximum likelihood estimation method set forth by Aquaro, Bailey and...