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3. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 66(1), pages 1-26, January.
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4. Perch Nielsen, Jens & Tanggaard, Carsten, 2000. "Boundary and Bias Correction in Kernel Hazard Estimation," Finance Working Papers 00-7, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
5. Chesner, A. & Dhaene, G. & Gourieroux, C. & Scaillet, O., 1999. "Bartlett Identities Tests," Papers 9932, Institut National de la Statistique et des Etudes Economiques-.
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6. O. Scaillet, 2001. "Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels," THEMA Working Papers 2001-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
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7. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July. [Downloadable!] (restricted)
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8. Chen, Song Xi, 1999. "Beta kernel estimators for density functions," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 131-145, August. [Downloadable!] (restricted)
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10. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September. [Downloadable!] (restricted)
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    • Yongmiao Hong & Halbert White, 1994. "Consistent Specification Testing via Nonparametric Series Regression," University of California at San Diego, Economics Working Paper Series 91-39r, Department of Economics, UC San Diego.
11. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June. [Downloadable!] (restricted)
12. Giot, P., 1999. "Time Transformations, Intraday Data and Volatility Models," Papers 9944, Catholique de Louvain - Center for Operations Research and Economics.
13. Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
14. Bauwens, L. & Veredas, D., 1999. "The Stochastic Conditional Duration Model: a Latent Factor Model for the Analysis of Financial Durations," Papers 9958, Catholique de Louvain - Center for Operations Research and Economics.
15. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April. [Downloadable!] (restricted)
16. Joachim Grammig & Kai-Oliver Maurer, 2000. "Non-monotonic hazard functions and the autoregressive conditional duration model," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 16-38.
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    • J. Grammig & K. Maurer, . "Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model," Sonderforschungsbereich 373 1999-50, Humboldt Universitaet Berlin.
17. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society. [Downloadable!]
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    • Bauwens, L. & Giot, P. & Grammig, J. & Veredas, D., 2000. "A Comparison of Financial Duration Models Via Density Forecasts," Papers 0060, Catholique de Louvain - Center for Operations Research and Economics.
    • Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609. [Downloadable!] (restricted)
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19. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
20. Jens Perch Nielsen, 2001. "Boundary and Bias Correction in Kernel Hazard Estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 28(4), pages 675-698. [Downloadable!] (restricted)
21. Eric Ghysels & Joanna Jasiak, 1998. "GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(4), pages 133-149. [Downloadable!] (restricted)
22. Paulo Klinger Monteiro & Marcelo Fernandes, 2004. "Central limit theorem for asymmetric kernel functionals," Economics Working Papers (Ensaios Economicos da EPGE) 522, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    • Fernandes, M., 2000. "Central Limit Theorem for Asymmetric Kernel Functionals," Economics Working Papers eco2000/1, European University Institute.
    • Marcelo Fernandes & Paulo Monteiro, 2005. "Central limit theorem for asymmetric kernel functionals," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(3), pages 425-442, September. [Downloadable!] (restricted)
23. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
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24. Song Chen, 2000. "Probability Density Function Estimation Using Gamma Kernels," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(3), pages 471-480, September. [Downloadable!] (restricted)
25. James D. Hamilton & Oscar Jorda, . "A model for the federal funds rate target," Department of Economics 99-07, California Davis - Department of Economics. [Downloadable!]
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    • James D. Hamilton & Oscar Jorda, 2000. "A Model for the Federal Funds Rate Target," NBER Working Papers 7847, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • James D. Hamilton & Oscar Jorda, 2002. "A Model of the Federal Funds Rate Target," Journal of Political Economy, University of Chicago Press, vol. 110(5), pages 1135-1167, October. [Downloadable!] (restricted)
26. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
27. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
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    • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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28. Yanqin Fan & Oliver Linton, 1997. "Some Higher Order Theory for a Consistent Nonparametric Model Specification Test," Cowles Foundation Discussion Papers 1148, Cowles Foundation, Yale University. [Downloadable!]
29. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 3-40. [Downloadable!] (restricted)
30. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December. [Downloadable!] (restricted)
31. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August. [Downloadable!] (restricted)
32. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric duration models," Discussion Paper 11, Tilburg University, Center for Economic Research. [Downloadable!]
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33. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February. [Downloadable!] (restricted)
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34. Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "An Autoregressive Conditional Binomial Option Pricing Model," Papers 9965, Institut National de la Statistique et des Etudes Economiques-.
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35. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(2), pages 385-426. [Downloadable!] (restricted)
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36. Veredas, D. & Rodriguez-Poo, J. & Espasa, A., 2001. "On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach," Papers 2001-19, Institut National de la Statistique et des Etudes Economiques-.
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    • 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. [Downloadable!]

Cited by:
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1. Joachim Grammig & Marcelo Fernandes, 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!]
   Other versions:
   • Joachim Grammig & Marcelo Fernandes, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
   • Fernandes, M. & Grammig, J., 2001. "A Family of Autoregressive Conditional Duration Models," Papers 2001/36, Catholique de Louvain - Center for Operations Research and Economics.
   • Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January. [Downloadable!] (restricted)
2. Paulo Klinger Monteiro & Marcelo Fernandes, 2004. "Central limit theorem for asymmetric kernel functionals," Economics Working Papers (Ensaios Economicos da EPGE) 522, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
   Other versions:
   • Fernandes, M., 2000. "Central Limit Theorem for Asymmetric Kernel Functionals," Economics Working Papers eco2000/1, European University Institute.
   • Marcelo Fernandes & Paulo Monteiro, 2005. "Central limit theorem for asymmetric kernel functionals," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(3), pages 425-442, September. [Downloadable!] (restricted)
3. Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004. [Downloadable!]
   Other versions:
   • Meitz, Mika & Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January. [Downloadable!] (restricted)
4. 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!]
5. Laurini, Márcio P. & Furlani, Luiz Gustavo C. & Portugal, Marcelo S., 2007. "Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência," Ibmec Working Papers wpe_89, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
6. Marcelo Fernandes & João Manuel Gonçalves Amaro de Matos, 2001. "Testing The Markov Property with Ultra High Frequency Financial Data," Economics Working Papers (Ensaios Economicos da EPGE) 414, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
   Other versions:
   • Matos, Joao Amaro de & Fernandes, Marcelo, 2004. "Testing the Markov property with ultra-high frequency financial data," FEUNL Working Paper Series wp462, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
7. Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S., 2008. "Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data," Ibmec Working Papers wpe_101, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
8. Nikolaus Hautsch, 2006. "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers 2006/06, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]