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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

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

What affects the cool-off duration under price limits?

Chou, Pin-huang; Chou, Robin K.; Ko, Kuan-cheng; Chao, … - In: Pacific-Basin finance journal 24 (2013), pp. 256-278

Persistent link: https://www.econbiz.de/10010346768

Duration, trading volume and the price impact of trades in an emerging futures market

Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - In: Emerging markets review 17 (2013), pp. 89-105

Persistent link: https://www.econbiz.de/10010243112

Time-varying autoregressive conditional duration model

Bortoluzzo, Adriana Bruscato; Morettin, Pedro A.; … - 2009

Persistent link: https://www.econbiz.de/10008797385

What is fractional integration?

Parke, William R. - In: The review of economics and statistics 81 (1999) 4, pp. 632-638

Persistent link: https://www.econbiz.de/10001437380

Aktienperformance in Deutschland : Essays über Renditen, Anlagedauer und Kursschocks

Ising, Jan - 2006 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003386339

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

Modelling the Relationships between Duration and Volatility in Asset Prices

Chan, Felix - 2015

This paper proposes a new model that captures the interaction between duration and magnitude of changes in asset prices … Heteroskedasticity (EGARCH) model of Nelson (1991) and the Logarithmic Conditional Duration (Log-ACD) model of Bauwens and Giot (2000 …). Despite having the EGARCH model as a special case, the objective of the model is not trying to model conditional duration and …

Persistent link: https://www.econbiz.de/10013028907

A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data

Vuorenmaa, Tommi A. - 2011

This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...

Persistent link: https://www.econbiz.de/10013118929