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Theorie
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Russell, Jeffrey R.
8
Engle, Robert F.
6
Bai, Xuezheng
1
Bandi, F. M.
1
Bollerslev, Tim
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Discussion paper / Department of Economics, University of California San Diego
3
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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The review of economic studies
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ECONIS (ZBW)
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1
Forecasting transaction rates : the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1994
Persistent link: https://www.econbiz.de/10000147454
Saved in:
2
Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim
(
ed.
);
Engle, Robert F.
(
honouree
); …
-
2010
-
1. publ.
Persistent link: https://www.econbiz.de/10003861657
Saved in:
3
Microstructure noise, realized variance, and optimal sampling
Bandi, F. M.
;
Russell, Jeffrey R.
- In:
The review of economic studies
75
(
2008
)
2
,
pp. 339-369
Persistent link: https://www.econbiz.de/10003678717
Saved in:
4
Autoregressive conditional duration : a new model for irregularly spaced transaction data
Engle, Robert F.
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
5
,
pp. 1127-1162
Persistent link: https://www.econbiz.de/10001249588
Saved in:
5
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1995
Persistent link: https://www.econbiz.de/10000929607
Saved in:
6
Autoregressive conditional duration : a new model for irregularly spaced time series data
Engle, Robert F.
;
Russell, Jeffrey R.
-
1995
-
[Rev.]
Persistent link: https://www.econbiz.de/10000929636
Saved in:
7
Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.
;
Engle, Robert F.
-
1998
Persistent link: https://www.econbiz.de/10000988764
Saved in:
8
Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Bai, Xuezheng
;
Russell, Jeffrey R.
;
Tiao, George C.
- In:
Journal of econometrics
114
(
2003
)
2
,
pp. 349-360
Persistent link: https://www.econbiz.de/10001750817
Saved in:
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