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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582

The time-varying effects of permanent and transistory shocks to real output

Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507

Persistent link: https://www.econbiz.de/10011308634

Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018

Persistent link: https://www.econbiz.de/10012196752

Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018

Persistent link: https://www.econbiz.de/10012203994

Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2020 - This version: September 2020

Persistent link: https://www.econbiz.de/10013355422

Bayesian estimation of Gegenbauer long memory processes with stochastic volatility : methods and applications

Phillip, Andrew; Chan, Jennifer S. K.; Peiris, Shelton - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10011897536

Volatility estimation using a rational GARCH model

Takaishi, Tetsuya - In: Quantitative finance and economics 2 (2018) 1, pp. 127-136

Persistent link: https://www.econbiz.de/10012137901

Bayesian approach to Lorenz curve using time series grouped data

Kobayashi, Genya; Yamauchi, Yuta; Kakamu, Kazuhiko; … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 897-912

Persistent link: https://www.econbiz.de/10013534578

Priors and Bayesian parameter estimation of affine term structure models

Sögner, Leopold - In: International journal of computational economics and … 4 (2014) 3/4, pp. 288-319

Persistent link: https://www.econbiz.de/10010496421

Bayesian bandwidth estimation in nonparametric time-varying coefficient models

Cheng, Tingting; Gao, Jiti; Zhang, Xibin - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10012175865