Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many...

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

This paper discusses how specification of probabilistic models for multistate duration data generated by individual choices should be justified on a priori theoretical grounds. Preferences are assumed represented by random utilities, where utilities are viewed as random also to the agent...

Practical techniques for approximating yield given the price and price given the yield are described. Duration and convexity estimations given prices and yields at three observation points are presented. Such approximations are useful when computing prices and yields from their values at nearby...

The distributions of the first passage time for the S&P CNX Nifty and its 50 constituent stocks are examined. Numerical analysis shows the ‘optimal' investment horizon at 5% return level is about 15 days for the index and is most frequently distributed at seven days (range: 5 to 15 days) for...

This survey is devoted to the statistical analysis of duration models and point processes. The first section introduces specific concepts and definitions for single-spell duration models. Section two is devoted to the presentation of conditional duration models which incorporate the effects of...

This study analyses the performance of real estate mutual funds for 1993 through 2001 period. The results indicate that real estate mutual funds do not provide positive abnormal performance on average. Fund performance to a large extent is determined by the performance of the real estate sector...

This survey is devoted to the modelling and the estimation of reduced-form transition models, which have been extensively used and estimated in labor microeconometrics. The first section contains a general presentation of the statistical modelling of such processes using continuous-time...

We develop a Markov-Switching Autoregressive Conditional Intensity (MS-ACI) model with time-varying transitional parameters, and show that it can be reliably estimated via the Stochastic Approximation Expectation-Maximization algorithm. Applying our model to high-frequency transaction data, we...