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A nonlinear autoregressive conditional duration model with applications to financial transaction data

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Author Info
Zhang, Michael Yuanjie
Russell, Jeffrey R.
Tsay, Ruey S.
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 104 (2001)
Issue (Month): 1 (August)
Pages: 179-207
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Handle: RePEc:eee:econom:v:104:y:2001:i:1:p:179-207

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  1. Chris M Strickland & Gael Martin & Catherine S Forbes, 2006. "Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models," Monash Econometrics and Business Statistics Working Papers 22/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  3. Fernandes, Marcelo & Grammig, Joachim, 2002. "A Family of Autoregressive Conditional Duration Models," Economics Working Papers (Ensaios Economicos da EPGE) 440, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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  4. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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  5. repec:bep:sndecm:11:2007:1:1313-1313 is not listed on IDEAS
  6. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
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  7. Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007. [Downloadable!]
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  8. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
  9. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March. [Downloadable!] (restricted)
  10. 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. [Downloadable!]
  11. Evans, Kevin & Speight, Alan, 2006. "Dynamic News Effects in High Frequency Euro Exchange Rate Returns and Volatility," Cardiff Accounting and Finance Working Papers A2006/4, Cardiff University, Cardiff Business School, Accounting and Finance Section. [Downloadable!]
  12. Simone Manganelli, 2002. "Duration: volume and volatility impact of trades," Working Paper Series 125, European Central Bank. [Downloadable!]
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  13. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Working Papers 13-2007, Singapore Management University, School of Economics. [Downloadable!]
  14. 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 "G. Parenti". [Downloadable!]
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