Narrow search
Showing 11 - 20 of 239,250
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
Cover Image
Non-parametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2000
Persistent link: https://www.econbiz.de/10001480448
Cover Image
A generalized gamma autoregressive conditional duration model
Lunde, Asger - In: Econometric modelling of durations between economic events, (pp. 31-68). 1999
Persistent link: https://www.econbiz.de/10001442379
Cover Image
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1995
Persistent link: https://www.econbiz.de/10000929607
Cover Image
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
Cover Image
Nonstationary autoregressive conditional duration models
Mishra, Anuj; Ramanathan, Thekke Variyam - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10011743716