This paper introduces impulse response analysis for nonlinear processes based on the concept of nonlinear innovation. Our approach borrows from the traditional linear impulse response analysis in that we consider shocks to innovations of a process. It also extends the methods of nonlinear...

This paper examines long memory in durations between trades of stocks on financial markets. The approach is based on semi-parametric methods as well as on the fractionally integrated autoregressive conditional duration model (FIACD). The persistence is also investigated in endogenously...

This paper examines long memory in durations between trades of stocks on financial markets. The approach is based on semi-parametric methods as well as on the fractionally integrated autoregressive conditional duration model (FIACD). The persistence is also investigated in endogenously...