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Econometric analysis of international financial markets
Dimpfl, Thomas - 2010
Persistent link: https://www.econbiz.de/10008856799
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...
Persistent link: https://www.econbiz.de/10009579173
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Excess volatility and herding in an artificial financial market : analytical approach and estimation
Alfarano, Simone; Lux, Thomas; Wagner, Friedrich - In: Funktionsfähigkeit und Stabilität von Finanzmärkten …, (pp. 241-259). 2005
Persistent link: https://www.econbiz.de/10003249990
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Trading activity and liquidity supply in a pure limit order book market : an empirical analysis using a multivariate count data model
Grammig, Joachim; Heinen, Andréas; Rengifo, Erick W. - 2004
Persistent link: https://www.econbiz.de/10002390653
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - In: Journal of econometrics 106 (2002) 2, pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
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Modeling the Deutsche Telekom IPO using a new ACD specification : an application of the Burr-ACD model using high frequency Ibis data
Grammig, Joachim (contributor) - 1998
Persistent link: https://www.econbiz.de/10000992448
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
Persistent link: https://www.econbiz.de/10001377693
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Simultaneous modeling of price processes and transaction intensities
Grammig, Joachim; Hujer, Reinhard - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 31-52
Persistent link: https://www.econbiz.de/10001650465
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Forecasting intra-day return volatility using ultra-high-frequency GARCH : does the duration model matter?
Hujer, Reinhard; Grammig, Joachim - 2001
Persistent link: https://www.econbiz.de/10014553638
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Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten
Grammig, Joachim (contributor) - 1998
Persistent link: https://www.econbiz.de/10013444373