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Revisiting the bull and bear markets notions in the Tunisian stock market : new evidence from multi-state duration-dependence Markov-switching models
Bejaoui, Azza; Karaa, Adel - In: Economic modelling 59 (2016), pp. 529-545
Persistent link: https://www.econbiz.de/10011647922
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Evidences of Bull and Bear Markets in the Bovespa index : an application of Markovian regime-switching models with duration dependence
Mendes, Fernando Henrique de Paula e Silva; Moura, … - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 1, pp. 39-74
Persistent link: https://www.econbiz.de/10012129029
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Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
Tse, Yiu Kuen; Dong, Yingjie - In: Journal of empirical finance 28 (2014), pp. 352-361
Persistent link: https://www.econbiz.de/10011285621
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Estimation of high-frequency volatility : an autoregressive conditional duration approach
Tse, Yiu Kuen; Yang, Thomas Tao - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 533-545
Persistent link: https://www.econbiz.de/10009667044
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Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao - In: Journal of empirical finance 19 (2012) 2, pp. 282-291
Persistent link: https://www.econbiz.de/10009615704
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Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds
Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173
Persistent link: https://www.econbiz.de/10012798505
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A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
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Price duration versus trading volume in high-frequency data for selected DAX companies
Gurgul, Henryk; Syrek, Robert; Mitterer, Christoph - In: Managerial economics 17 (2016) 2, pp. 241-260
The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume … distribution) can be replaced by a logarithmic specification with more-flexible conditional distributions. The price duration and … trading volume associated with this duration exhibit dependence in the tails of distribution. We may conclude that high …
Persistent link: https://www.econbiz.de/10011736961
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The impact of macroeconomic factors on the US Stock Exchange
Süslü, Cemil - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014290717