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Volatility estimation on the basis of price intensities

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Author Info
Gerhard, Frank
Hautsch, Nikolaus

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 9 (2002)
Issue (Month): 1 (January)
Pages: 57-89
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Handle: RePEc:eee:empfin:v:9:y:2002:i:1:p:57-89

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  1. Frank Gerhard & Nikolaus Hautsch, 2007. "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2), pages 1377-1377. [Downloadable!] (restricted)
    Other versions:
  2. Giovanni De Luca & Giampiero Gallo, 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1223-1223. [Downloadable!] (restricted)
  3. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  4. 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!]
    Other versions:
  5. 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!]
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