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Non-parametric specification tests for conditional duration models

Fernandes, Marcelo; Grammig, Joachim - 2000

Persistent link: https://www.econbiz.de/10001480448

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

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

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

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

Bid-ask spread, quoted depths, and unexpected duration between trades

Ruan, Jun Tony; Ma, Tongshu - In: Journal of financial services research : JFSR 51 (2017) 3, pp. 385-436

Persistent link: https://www.econbiz.de/10011777286

Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros

Blasques, Francisco; Holý, Vladimír; Tomanová, Petra - 2019

In finance, durations between successive transactions are usually modelled by the autoregressive conditional duration …

Persistent link: https://www.econbiz.de/10011954223

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

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

Predicting the Market Using Information from Equity Portfolio Returns

Taylor, Alex P. - 2011

In this paper we provide new evidence on the predictability of aggregate stock market returns, and new time series of the expected excess returns on common stocks. We extract aggregate discount rate news from equity portfolio returns and use this information to construct estimates of expected...

Persistent link: https://www.econbiz.de/10013128466