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Finite and infinite mixtures for financial durations Author info | Abstract | Publisher info | Download info | Related research | Statistics Giovanni De Luca
Paola Zuccolotto
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Article provided by Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome in its journal Metron .
Volume (Year): LXI (2003)
Issue (Month): 3 ()
Pages: 431-455
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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.: Paola Zuccolotto, 2002.
"Modelling the impact of open volume on inter-trade autoregressive durations ,"
Metron - International Journal of Statistics ,
Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 49-63.
[Downloadable!]
Luc Bauwens & Pierre Giot, 2003.
"Asymmetric ACD models: Introducing price information in ACD models ,"
Empirical Economics ,
Springer, vol. 28(4), pages 709-731, November.
[Downloadable!] (restricted)
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.
Robert F. Engle, 2000.
"The Econometrics of Ultra-High Frequency Data ,"
Econometrica ,
Econometric Society, vol. 68(1), pages 1-22, January.
Other versions: Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997.
"Evaluating Density Forecasts ,"
NBER Technical Working Papers
0215, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
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!] Luc Bauwens & Pierre Giot, 2000.
"The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks ,"
Annales d'Economie et de Statistique ,
ADRES, issue 60, pages 06, Octobre-D.
[Downloadable!]
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)
Ghysels, Eric, 2000.
"Some Econometric Recipes for High-Frequency Data Cooking ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 18(2), pages 154-63, April.
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)
Other versions:
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 , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, 2000.
"A comparison of financial duration models via density forecasts ,"
CORE Discussion Papers
2000060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
[Downloadable!] Joann Jasiak, 1996.
"Persistence in Intertrade Durations ,"
Working Papers
1999_8, York University, Department of Economics, revised Mar 1999.
[Downloadable!]
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.)
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 "G. Parenti".
[Downloadable!]
Other versions: Luc, BAUWENS & Nikolaus, HAUTSCH, 2006.
"Modelling Financial High Frequency Data Using Point Processes ,"
Discussion Papers (ECON - Département des Sciences Economiques)
2006039, Université catholique de Louvain, Département des Sciences Economiques.
[Downloadable!]
Other versions:
Luc Bauwens & Nikolaus Hautsch, 2007.
"Modelling Financial High Frequency Data Using Point Processes ,"
SFB 649 Discussion Papers
SFB649DP2007-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!] BAUWENS, Luc & HAUTSCH, Nikolaus, 2006.
"Modelling financial high frequency data using point processes ,"
CORE Discussion Papers
2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
[Downloadable!]
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