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A comparison of financial duration models via density forecasts Author info | Abstract | Publisher info | Download info | Related research | Statistics Bauwens, Luc
Giot, Pierre
Grammig, Joachim
Veredas, David
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Article provided by Elsevier in its journal International Journal of Forecasting .
Volume (Year): 20 (2004)
Issue (Month): 4 ()
Pages: 589-609
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Handle: RePEc:eee:intfor:v:20:y:2004:i:4:p:589-609Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast
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Keywords: Other versions of this item:
Paper 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!] 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.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Giot, P., 1999.
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University of California at San Diego, Economics Working Paper Series
96-23, Department of Economics, UC San Diego.
Other versions: Bauwens, L. & Veredas, D., 1999.
"The Stochastic Conditional Duration Model: a Latent Factor Model for the Analysis of Financial Durations ,"
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9958, Catholique de Louvain - Center for Operations Research and Economics.
Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004.
"Stochastic volatility duration models ,"
Journal of Econometrics ,
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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.
Other versions: Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999.
"Intra-day market activity ,"
Journal of Financial Markets ,
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Other versions: Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility ,"
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95.400, Toulouse - GREMAQ.
Other versions:
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility ,"
Cahiers de recherche
9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility ,"
Cahiers de recherche
9613, Universite de Montreal, Departement de sciences economiques.
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[Downloadable!] Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997.
"Evaluating Density Forecasts ,"
NBER Technical Working Papers
0215, National Bureau of Economic Research, Inc.
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Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997.
"Evaluating density forecasts ,"
Working Papers
97-6, Federal Reserve Bank of Philadelphia.
[Downloadable!] Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997.
"Evaluating Density Forecasts ,"
Center for Financial Institutions Working Papers
97-37, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!] Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, .
"Evaluating Density Forecasts ,"
CARESS Working Papres
97-18, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
[Downloadable!] Gourieroux, C. & Jasiak, J., 1999.
"Dynamic Factor Models ,"
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9908, Institut National de la Statistique et des Etudes Economiques-.
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"Efficient Estimation in Semiparametric Time Series: the ACD Model ,"
Econometric Society World Congress 2000 Contributed Papers
0836, Econometric Society.
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Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006.
"Nonparametric Density Estimation for Positive Time Series ,"
Cahiers de recherche
06-09, HEC Montréal, Institut d'économie appliquée.
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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.
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Other versions: Wing Lon NG, 2004.
"Duration and Order Type Clusters ,"
Econometric Society 2004 Far Eastern Meetings
730, Econometric Society.
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Joachim Grammig & Marcelo Fernandes, 2003.
"Nonparametric specification tests for conditional duration models ,"
Economics Working Papers (Ensaios Economicos da EPGE)
502, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
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Other versions:
Fernandes, M. & Grammig, J., 2000.
"Non-Parametric Specification Tests for Conditional Duration Models ,"
Economics Working Papers
eco2000/4, European University Institute.
Marcelo Fernandes & Joachim Grammig, 2000.
"Non-Parametric Specification Tests For Conditional Duration Models ,"
Computing in Economics and Finance 2000
40, Society for Computational Economics.
[Downloadable!] Fernandes, Marcelo & Grammig, Joachim, 2005.
"Nonparametric specification tests for conditional duration models ,"
Journal of Econometrics ,
Elsevier, vol. 127(1), pages 35-68, July.
[Downloadable!] (restricted) 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).
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Other versions: 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.
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Other versions: 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.
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Markku Lanne, 2006.
"A Mixture Multiplicative Error Model for Realized Volatility ,"
Economics Working Papers
ECO2006/3, European University Institute.
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Other versions: Luc, BAUWENS & Nikolaus, HAUTSCH, 2006.
"Modelling Financial High Frequency Data Using Point Processes ,"
Université catholique de Louvain, Département des Sciences Economiques Working Paper
2006039, Université catholique de Louvain, Département des Sciences Economiques.
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Other versions: 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!]
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: 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.
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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!]
Wing Lon NG, 2004.
"Duration and Order Type Clusters ,"
Econometric Society 2004 Australasian Meetings
272, Econometric Society.
[Downloadable!]
Isao Ishida, 2005.
"Scanning Multivariate Conditional Densities with Probability Integral Transforms ,"
CIRJE F-Series
CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo.
[Downloadable!]
Simonsen, Ola, 2005.
"An Empirical Model for Durations in Stocks ,"
Umeå Economic Studies
657, Umeå University, Department of Economics.
[Downloadable!]
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