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Fourier analysis for stock price forecasting : assumption and evidence

Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380

Persistent link: https://www.econbiz.de/10011517950

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

A data paradigm to operationalise expanded filtration : realized volatilities and kernels from non-synchronous NASDAQ quotes and trades

Chakravarty, Ranjan R.; Pani, Sudhanshu - In: Journal of quantitative economics 19 (2021) 4, pp. 617-652

Persistent link: https://www.econbiz.de/10012663902

Informational inefficiency of Bitcoin : a study based on high-frequency data

Zargar, Faisal Nazir; Kumar, Dilip - In: Research in international business and finance 47 (2019), pp. 344-353

Persistent link: https://www.econbiz.de/10012135746

Forecasting and trading high frequency volatility on large indices

Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748

Persistent link: https://www.econbiz.de/10011907914

A state-space modeling of the information content of trading volume

Rzayev, Khaladdin; Ibikunle, Gbenga - In: Journal of financial markets 46 (2019), pp. 1-19

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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