Some Econometric Recipes for High-Frequency Data Cooking
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 18 (2000)
Issue (Month): 2 (April)
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- Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455.
- VEREDAS, David & RODRIGUEZ-POO, Juan & ESPASA, Antoni, 2002.
"On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach,"
CORE Discussion Papers
2002023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- David Veredas & Juan Rodriguez-Poo & Antoni Espasa, 2001. "On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach," Working Papers 2001-19, Centre de Recherche en Economie et Statistique.
- David Veredas & Juan M. Rodríguez-Poo & Antoni Espasa, 2001. "On The (Intradaily) Seasonality And Dynamics Of A Financial Point Process: A Semiparametric Approach," Statistics and Econometrics Working Papers ws013321, Universidad Carlos III, Departamento de Estadística y Econometría.
- Giovanni De Luca & Giampiero Gallo, 2006.
"Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models,"
Econometrics Working Papers Archive
wp2006_12, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
- Giovanni De Luca & Giampiero M. Gallo, 2005. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2005_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Sun, Edward W. & Meinl, Thomas, 2012. "A new wavelet-based denoising algorithm for high-frequency financial data mining," European Journal of Operational Research, Elsevier, vol. 217(3), pages 589-599.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
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