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Joachim Grammig

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Michael Scheidler & Reinhard Hujer & Joachim Grammig, 2005. "Discrete choice modelling in airline network management," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(4), pages 467-486.

    Mentioned in:

    1. Rede aérea in Wikipedia (Portuguese)

Working papers

  1. Grammig, Joachim G. & Peter, Franziska J., 2010. "Tell-tale tails: A data driven approach to estimate unique market information shares," CFR Working Papers 10-06, University of Cologne, Centre for Financial Research (CFR).

    Cited by:

    1. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2015. "Price Discovery in Brazilian FX Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.

  2. Grammig, Joachim G. & Jank, Stephan, 2010. "Creative destruction and asset prices," CFR Working Papers 10-14, University of Cologne, Centre for Financial Research (CFR).

    Cited by:

    1. Theissen, Erik & Zimmermann, Lukas, 2020. "Do contented customers make shareholders wealthy? Implications of intangibles for security pricing," CFR Working Papers 20-12, University of Cologne, Centre for Financial Research (CFR).
    2. Daniel Andrei & Bruce I. Carlin, 2017. "Asset Pricing in the Quest for the New El Dorado," NBER Working Papers 23455, National Bureau of Economic Research, Inc.
    3. Jank, Stephan, 2015. "Specialized human capital, unemployment risk, and the value premium," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113214, Verein für Socialpolitik / German Economic Association.

  3. Grammig, Joachim G. & Schrimpf, Andreas & Schuppli, Michael, 2009. "Long-horizon consumption risk and the cross-section of returns: New tests and international evidence," CFR Working Papers 09-02, University of Cologne, Centre for Financial Research (CFR).

    Cited by:

    1. Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.

  4. Grammig, Joachim G. & Peter, Franziska J., 2008. "International price discovery in the presence of market microstructure effects," CFR Working Papers 08-10, University of Cologne, Centre for Financial Research (CFR).

    Cited by:

    1. Theissen, Erik, 2009. "Price discovery in spot and futures markets: A reconsideration," CFS Working Paper Series 2009/27, Center for Financial Studies (CFS).
    2. Schulz, Alexander & Stapf, Jelena, 2009. "Price discovery on traded inflation expectations: does the financial crisis matter?," Discussion Paper Series 1: Economic Studies 2009,25, Deutsche Bundesbank.

  5. Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Leibniz Centre for European Economic Research.

    Cited by:

    1. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," EconStor Preprints 260586, ZBW - Leibniz Information Centre for Economics.

  6. Joachim Grammig & Michael Melvin & Christian Schlag, 2005. "Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects," Working Paper Series: Finance and Accounting 78, Department of Finance, Goethe University Frankfurt am Main.

    Cited by:

    1. Korczak, Piotr & Phylaktis, Kate, 2010. "Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 566-584, September.
    2. Piotr Korczak & Kate Phylaktis, 2009. "Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks," Bristol Economics Discussion Papers 09/612, School of Economics, University of Bristol, UK.
    3. Fernandes, Marcelo & Scherrer, Cristina Mabel, 2013. "Price discovery in dual-class shares across multiple markets," Textos para discussão 344, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    4. Shrestha, Keshab & Philip, Sheena & Peranginangin, Yessy, 2020. "Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process," American Business Review, Pompea College of Business, University of New Haven, vol. 23(2), pages 393-407, November.
    5. Laih, Yih-Wenn & Lai, Hung-Neng & Li, Chun-An, 2015. "Analyst valuation and corporate value discovery," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 235-248.
    6. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(4), pages 953-986, August.
    7. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Price discovery of cross-listed firms," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 177-188.
    8. Oliver Entrop & Bart Frijns & Marco Seruset, 2020. "The determinants of price discovery on bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 816-837, May.
    9. Mitra, Sovan & Raju Chinthalapati, V.L. & Clark, Ephraim & McGroarty, Frank, 2019. "Stock-ADR Arbitrage: Microstructure Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    10. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 89-104, March.
    11. Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.
    12. Frijns, Bart & Zwinkels, Remco C.J., 2018. "Time-varying arbitrage and dynamic price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 485-502.
    13. Michael H. Senteney & David L. Senteney & Mohammad S. Bazaz, 2017. "Equity Market Response to Form 20-F Disclosures for ADR Firms," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 233-255, March.
    14. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2020. "The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry," International Review of Financial Analysis, Elsevier, vol. 72(C).
    15. Grammig, Joachim G. & Peter, Franziska J., 2008. "International price discovery in the presence of market microstructure effects," CFR Working Papers 08-10, University of Cologne, Centre for Financial Research (CFR).
    16. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2010. "The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 498-508, March.
    17. Bao, Wei & Guo, Shijun & Peng, Diefeng & Rao, Yulei, 2023. "Trading gap in holidays and price transmission: Evidence from cross-listed stocks on the A-share and H-share markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    18. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    19. Paolo Pagnottoni & Thomas Dimpfl, 2019. "Price discovery on Bitcoin markets," Digital Finance, Springer, vol. 1(1), pages 139-161, November.
    20. Yiuman Tse & Paramita Bandyopadhyay & Yang‐Pin Shen, 2006. "Intraday Price Discovery in the DJIA Index Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1572-1585, November.
    21. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    22. Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang, 2012. "Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval," Monash Econometrics and Business Statistics Working Papers 3/12, Monash University, Department of Econometrics and Business Statistics.
    23. Qian Su & Terence T. Chong, 2005. "Determining the Contributions to the Price Discovery for Chinese Cross-listed Stocks," Departmental Working Papers _169, Chinese University of Hong Kong, Department of Economics.
    24. Kao, Chung-Wei & Wan, Jer-Yuh, 2012. "Price discount, inventories and the distortion of WTI benchmark," Energy Economics, Elsevier, vol. 34(1), pages 117-124.
    25. Alma Hales, 2015. "Liquidity and price discovery in Latin America: evidence from American depositary receipts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 661-678, October.
    26. Xingguo Luo & Xiaoli Yu & Shihua Qin & Qi Xu, 2020. "Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1665-1690, November.
    27. Joseph K.W. Fung & Eric Girardin & Jian Hua, 2022. "How does the exchange-rate regime affect dual-listed share price parity? Evidence from China’s A- and H-share markets," Post-Print hal-03821210, HAL.
    28. Lei Wu & Kuan Xu & Qingbin Meng, 2020. "Information Flow and Price Discovery Dynamics," Working Papers daleconwp2020-02, Dalhousie University, Department of Economics.
    29. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
    30. Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 947-960, June.
    31. Nafeesa Yunus, 2016. "Modelling interactions among the housing market and key US sectors," Journal of Property Research, Taylor & Francis Journals, vol. 33(2), pages 121-146, April.
    32. Pascual, Roberto & Pascual Fuste, Bartolomé & Climent, Francisco, 2001. "Cross-listing, price discovery and the informativeness of the trading process," DEE - Working Papers. Business Economics. WB wb014511, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    33. Shynkevich, Andrei, 2021. "Bitcoin arbitrage," Finance Research Letters, Elsevier, vol. 40(C).
    34. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Price discovery in Taiwan's foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 77-93, February.
    35. Flad, Michael & Jung, Robert C., 2008. "A common factor analysis for the US and the German stock markets during overlapping trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 498-512, December.
    36. Dimpfl, Thomas & Schweikert, Karsten, 2023. "Information shares for markets with partially overlapping trading hours," Journal of Banking & Finance, Elsevier, vol. 154(C).
    37. Lukasz Gatarek & Søren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," CREATES Research Papers 2017-12, Department of Economics and Business Economics, Aarhus University.
    38. Frijns, Bart & Schotman, Peter, 2009. "Price discovery in tick time," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 759-776, December.
    39. Alhaj-Yaseen, Yaseen S. & Lam, Eddery & Barkoulas, John T., 2014. "Price discovery for cross-listed firms with foreign IPOs," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 80-87.
    40. Dirk G. Baur & Thomas Dimpfl, 2019. "Price discovery in bitcoin spot or futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 803-817, July.
    41. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    42. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).
    43. Jimmy Lockwood & Larry Lockwood & Sie Ting Lau, 2016. "Lost In Translation: Which Stock Prices Bear The Burden To Adjust To Exchange Rates?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(3), pages 263-290, September.
    44. Wang, Ming-Chieh, 2013. "Is there a reversal in the price discovery process under different market conditions? Evidence from Korean ADRs and their underlying foreign securities," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1160-1174.
    45. Kehrle, Kerstin & Peter, Franziska J., 2013. "Who moves first? An intensity-based measure for information flows across stock exchanges," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1629-1642.
    46. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
    47. Hens, Thorsten & Schindler, Nilüfer, 2020. "Value and patience: The value premium in a dividend-growth model with hyperbolic discounting," Journal of Economic Behavior & Organization, Elsevier, vol. 172(C), pages 161-179.
    48. Yan, Bingcheng & Zivot, Eric, 2010. "A structural analysis of price discovery measures," Journal of Financial Markets, Elsevier, vol. 13(1), pages 1-19, February.
    49. Gagnon, Louis & Karolyi, G. Andrew, 2004. "Multi-market Trading and Arbitrage," Working Paper Series 2004-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    50. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    51. Ghadhab, Imen & M’rad, Mouna, 2018. "Does US cross-listing come with incremental benefit for already UK cross-listed firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 188-204.
    52. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2018. "The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 136-152.
    53. Timofei Bogomolov & Lixian Liu & Petko S Kalev, 2013. "Can time difference deter arbitrage opportunities?," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 79-94, April.
    54. Andrei Shynkevich, 2023. "Law of one price and return on Arbitrage Trading: Bitcoin vs. Ethereum," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 763-792, September.
    55. Yaseen S. Alhaj-Yaseen & Dana Ladd, 2019. "Which sentiments do US investors follow when trading ADRs?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 506-527, July.
    56. Juan Carlos Cuestas & Bo Tang, 2015. "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers 2015024, The University of Sheffield, Department of Economics.
    57. David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
    58. Senteney, David L. & Bazaz, Mohammad S. & Senteney, Michael H., 2016. "Cross-market information transfers of ADR firms: An investigation of emerging market economies," Research in International Business and Finance, Elsevier, vol. 37(C), pages 655-677.
    59. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Cross-listing and value creation," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 1-11.
    60. Chen, Haiqiang & Choi, Paul Moon Sub, 2012. "Does information vault Niagara Falls? Cross-listed trading in New York and Toronto," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 175-199.
    61. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2021. "Trading activity and price discovery in Bitcoin futures markets," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 107-120.
    62. Dimpfl, Thomas & Peter, Franziska J., 2019. "Group transfer entropy with an application to cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 543-551.
    63. Lulu Gu & W. Robert Reed, 2012. "Information Asymmetry, Market Segmentation and Cross-Listing: Implicatons for Event Study Methodology," Working Papers in Economics 12/08, University of Canterbury, Department of Economics and Finance.
    64. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2015. "Price Discovery in Brazilian FX Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
    65. Ende, Bartholomäus & Lutat, Marco, 2010. "Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50," CFS Working Paper Series 2010/15, Center for Financial Studies (CFS).
    66. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
    67. Scherrer, Cristina Mabel, 2021. "Information processing on equity prices and exchange rate for cross-listed stocks," Journal of Financial Markets, Elsevier, vol. 54(C).
    68. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    69. Gustavo Fruet Dias & Marcelo Fernandes & Cristina M. Scherrer, 2016. "Component shares in continuous time," CREATES Research Papers 2016-25, Department of Economics and Business Economics, Aarhus University.
    70. Alsayed, Hamad & McGroarty, Frank, 2012. "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1258-1276.
    71. Kao, Chung-Wei & Wan, Jer-Yuh, 2009. "Information transmission and market interactions across the Atlantic -- an empirical study on the natural gas market," Energy Economics, Elsevier, vol. 31(1), pages 152-161, January.
    72. Sanjay Sehgal & Neharika Sobti & Florent Diesting, 2021. "Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1092-1123, July.
    73. Lulu Gu & W. Robert Reed, 2011. "One For All or All For One? Using Multiple-listing Information in Event Studies," Working Papers in Economics 11/33, University of Canterbury, Department of Economics and Finance.
    74. Yensen Ni & Min-Yuh Day & Paoyu Huang, 2020. "Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
    75. Chong, Terence Tai-Leung & Wong, Ying-Chiu & Yan, Isabel Kit-Ming, 2008. "International linkages of the Japanese stock market," Japan and the World Economy, Elsevier, vol. 20(4), pages 601-621, December.
    76. Li, Huimin & Zheng, Dazhi & Chen, Jun, 2014. "Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 217-241.
    77. Eichler, Stefan, 2011. "Exchange rate expectations and the pricing of Chinese cross-listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 443-455, February.
    78. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
    79. Laurent Germain & Brian Kluger & Crina Pungulescu & David Stolin & Daniel Weaver, 2010. "Intra†Dealer Integration," European Financial Management, European Financial Management Association, vol. 16(4), pages 507-527, September.
    80. Pascual-Fuster, Bartolome & Perez-Rodriguez, Jorge V., 2007. "Volatility transmission for cross-listed firms and the role of international exposure," Japan and the World Economy, Elsevier, vol. 19(3), pages 303-328, August.
    81. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
    82. Xuechun Zhang & Ruihui Xu & Xue Liu, 2022. "Premiums between Cross‐listed Shares: Determinants and Assessment of Financial Reform Policy Effectiveness," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 30(3), pages 75-99, May.
    83. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: evidence from Frankfurt-London microwave," LSE Research Online Documents on Economics 119989, London School of Economics and Political Science, LSE Library.
    84. Chen, Haiqiang & Choi, Paul Moon Sub & Kim, Hyunseob, 2008. "American depositary receipts: Asia-Pacific evidence on convergence and dynamics," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 346-368, October.
    85. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2015. "The determinants of price discovery: Evidence from US-Canadian cross-listed shares," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 457-468.
    86. Lok, Emily & Kalev, Petko S., 2006. "The intraday price behaviour of Australian and New Zealand cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 377-397.
    87. Cristina M. Scherrer, 2014. "Cross listing: price discovery dynamics and exchange rate effects," CREATES Research Papers 2014-53, Department of Economics and Business Economics, Aarhus University.
    88. Dias, Gustavo Fruet & Fernandes, Marcelo & Scherrer, Cristina Mabel, 2017. "Improving on daily measures of price discovery," Textos para discussão 444, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    89. Arquette, Gregory C. & Brown Jr., William O. & Burdekin, Richard C.K., 2008. "US ADR and Hong Kong H-share discounts of Shanghai-listed firms," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1916-1927, September.
    90. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
    91. Claessens, Stijn & Klingebiel, Daniela & Schmukler, Sergio L., 2006. "Stock market development and internationalization: Do economic fundamentals spur both similarly?," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 316-350, June.
    92. Turnbull, D. Alasdair S. & White, Robert W. & Smith, Brian F., 2010. "In search of liquidity: The block broker's choice of where to trade cross-listed stocks," Journal of Economics and Business, Elsevier, vol. 62(1), pages 20-34, January.
    93. Kao, Erin H. & Ho, Tsung-wu & Fung, Hung-Gay, 2015. "Price linkage between the US and Japanese futures across different time zones: An analysis of the minute-by-minute data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 321-336.
    94. Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007.
    95. Cepoi, Cosmin-Octavian & Anghel, Dan-Gabriel & Pop, Ionuţ Daniel, 2021. "Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks," Economic Modelling, Elsevier, vol. 98(C), pages 302-318.
    96. Oksana Kim, 2016. "Market Efficiency and Arbitrage Opportunities for Russian Depositary Receipts Cross-Listed on the London Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-36, June.
    97. Markus Baltzer, 2006. "European Financial Market Integration in the Gründerboom and Gründerkrach: Evidence from European Cross-Listings," Working Papers 111, Oesterreichische Nationalbank (Austrian Central Bank).
    98. Mateus, Cesario & Chinthalapati, Raju & Mateus, Irina B., 2017. "Intraday industry-specific spillover effect in European equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 278-298.
    99. Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021. "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, vol. 78(C).

  7. Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques) 2005014, Université catholique de Louvain, Département des Sciences Economiques.

    Cited by:

    1. Stange, Sebastian & Kaserer, Christoph, 2008. "The impact of order size on stock liquidity: a representative study," CEFS Working Paper Series 2008-09, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    2. Georges Dionne & Maria Pacurar & Xiaozhou Zhou, 2014. "Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse," Cahiers de recherche 1414, CIRPEE.
    3. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger, 2009. "Dynamics in Systematic Liquidity," Working Papers 2009:7, Lund University, Department of Economics.
    4. Richard G. Anderson & Jane M. Binner & Björn Hagströmer & Birger Nilsson, 2013. "Does commonality in illiquidity matter to investors?," Working Papers 2013-020, Federal Reserve Bank of St. Louis.
    5. Cenesizoglu, Tolga & Dionne, Georges & Zhou, Xiaozhou, 2022. "Asymmetric effects of the limit order book on price dynamics," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 77-98.
    6. Katarzyna Bień-Barkowska, 2014. "“Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market," Bank i Kredyt, Narodowy Bank Polski, vol. 45(3), pages 197-224.
    7. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    8. Cenesizoglu, Tolga & Dionne, Georges & Zhou, Xiaozhou, 2014. "Effects of the Limit Order Book on Price Dynamics," Working Papers 14-5, HEC Montreal, Canada Research Chair in Risk Management.
    9. D'Hondt, Catherine & Majois, Christophe & Mazza, Paolo, 2015. "Commonality on Euronext: Do location and account type matter?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 183-198.
    10. Peter Gomber & Uwe Schweickert & Erik Theissen, 2015. "Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach," European Financial Management, European Financial Management Association, vol. 21(1), pages 52-78, January.
    11. Ioane Muni Toke, 2013. "The order book as a queueing system: average depth and influence of the size of limit orders," Papers 1311.5661, arXiv.org.
    12. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
    13. Michael Chlistalla & Marco Lutat, 2011. "Competition in securities markets: the impact on liquidity," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(2), pages 149-172, June.
    14. Kempf, Alexander & Mayston, Daniel, 2006. "Liquidity commonality beyond best prices," CFR Working Papers 06-04, University of Cologne, Centre for Financial Research (CFR).
    15. Ioane Muni Toke, 2015. "The order book as a queueing system: average depth and influence of the size of limit orders," Post-Print hal-01006410, HAL.
    16. Grammig, Joachin & Heinen, Andreas & Rengifo, Erick, 2004. "Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model," MPRA Paper 8115, University Library of Munich, Germany.

  8. GRAMMIG, Joachim & HEINEN, Andréas & RENGIFO, Erick, 2004. "Trading activity and liquidity supply in a pure limit order book market," LIDAM Discussion Papers CORE 2004058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Johannes Bleher & Michael Bleher & Thomas Dimpfl, 2020. "From orders to prices: A stochastic description of the limit order book to forecast intraday returns," Papers 2004.11953, arXiv.org, revised May 2021.
    2. Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H., 2007. "Liquidity supply in electronic markets," Journal of Financial Markets, Elsevier, vol. 10(2), pages 144-168, May.
    3. Pagliacci, Carolina, 2006. "The Venezuelan Overnight Fund Market: Understanding a Credit Constraint Limit Order Market," MPRA Paper 106541, University Library of Munich, Germany.
    4. Giampaoli, Iacopo & Ng, Wing Lon & Constantinou, Nick, 2009. "Analysis of ultra-high-frequency financial data using advanced Fourier transforms," Finance Research Letters, Elsevier, vol. 6(1), pages 47-53, March.
    5. Kempf, Alexander & Mayston, Daniel, 2006. "Liquidity commonality beyond best prices," CFR Working Papers 06-04, University of Cologne, Centre for Financial Research (CFR).

  9. Grammig, Joachin & Heinen, Andreas & Rengifo, Erick, 2004. "Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model," MPRA Paper 8115, University Library of Munich, Germany.

    Cited by:

    1. Johannes Bleher & Michael Bleher & Thomas Dimpfl, 2020. "From orders to prices: A stochastic description of the limit order book to forecast intraday returns," Papers 2004.11953, arXiv.org, revised May 2021.
    2. Giampaoli, Iacopo & Ng, Wing Lon & Constantinou, Nick, 2009. "Analysis of ultra-high-frequency financial data using advanced Fourier transforms," Finance Research Letters, Elsevier, vol. 6(1), pages 47-53, March.
    3. Kempf, Alexander & Mayston, Daniel, 2006. "Liquidity commonality beyond best prices," CFR Working Papers 06-04, University of Cologne, Centre for Financial Research (CFR).

  10. Joachim Grammig & Erik Theissen, 2003. "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003 2003-01, Department of Economics, University of St. Gallen.

    Cited by:

    1. Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    2. Ali, Ashiq & Klasa, Sandy & Zhen Li, Oliver, 2008. "Institutional stakeholdings and better-informed traders at earnings announcements," Journal of Accounting and Economics, Elsevier, vol. 46(1), pages 47-61, September.
    3. Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Bank of Finland Research Discussion Papers 1/2018, Bank of Finland.
    4. Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, Department of Economics and Business Economics, Aarhus University.
    5. Yan, Yuxing & Zhang, Shaojun, 2014. "Quality of PIN estimates and the PIN-return relationship," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 137-149.
    6. Chakrabarty, Bidisha & Pascual, Roberto & Shkilko, Andriy, 2015. "Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm," Journal of Financial Markets, Elsevier, vol. 25(C), pages 52-79.
    7. Byun, Hae-Young & Hwang, Lee-Seok & Lee, Woo-Jong, 2011. "How does ownership concentration exacerbate information asymmetry among equity investors?," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 511-534, November.
    8. Torben G. Andersen & Oleg Bondarenko, 2015. "Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence," Review of Finance, European Finance Association, vol. 19(1), pages 1-54.
    9. Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders' arrival in foreign exchange markets: Does geography matter?," Post-Print hal-01563055, HAL.
    10. William Lin, Hsiou-Wei & Ke, Wen-Chyan, 2011. "A computing bias in estimating the probability of informed trading," Journal of Financial Markets, Elsevier, vol. 14(4), pages 625-640, November.
    11. Thomas Pöppe & Michael Aitken & Dirk Schiereck & Ingo Wiegand, 2016. "A PIN per day shows what news convey: the intraday probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1187-1220, November.
    12. Schreder, Max, 2018. "Idiosyncratic information and the cost of equity capital: A meta-analytic review of the literature," Journal of Accounting Literature, Elsevier, vol. 41(C), pages 142-172.
    13. Hahn, TeWhan & Ligon, James A. & Rhodes, Heather, 2013. "Liquidity and initial public offering underpricing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4973-4988.
    14. Asquith, Paul & Oman, Rebecca & Safaya, Christopher, 2010. "Short sales and trade classification algorithms," Journal of Financial Markets, Elsevier, vol. 13(1), pages 157-173, February.
    15. Igor Filatotchev & Xiaoxiang Zhang & Jenifer Piesse, 2011. "Multiple agency perspective, family control, and private information abuse in an emerging economy," Asia Pacific Journal of Management, Springer, vol. 28(1), pages 69-93, March.
    16. Malay Dey & B. Radhakrishna, 2015. "Informed trading, institutional trading, and spread," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 288-307, April.
    17. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Melvin, Michael, 2014. "Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 163-181.
    18. Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012. "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 29-46.
    19. Lamoureux, Christopher G. & Wang, Qin, 2015. "Measuring private information in a specialist market," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 92-119.
    20. Ersan, Oguz & Alıcı, Aslı, 2016. "An unbiased computation methodology for estimating the probability of informed trading (PIN)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 74-94.
    21. Hanousek, Jan & Podpiera, Richard, 2004. "Czech experience with market maker trading system," Economic Systems, Elsevier, vol. 28(2), pages 177-191, June.
    22. Griffin, Jim & Oberoi, Jaideep & Oduro, Samuel D., 2021. "Estimating the probability of informed trading: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 125(C).
    23. Paul Asquith & Rebecca Oman & Christopher Safaya, 2008. "Short Sales and Trade Classification Algorithms," NBER Working Papers 14158, National Bureau of Economic Research, Inc.
    24. Kaun Y. Lee & Kee H. Chung, 2009. "Information‐Based Trading and Price Improvement," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5‐6), pages 754-773, June.
    25. Jan Hanousek & František Kopøiva, 2011. "Detecting Information-Driven Trading in a Dealers Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 204-229, July.
    26. Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K., 2011. "Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 474-487, June.
    27. David Michayluk & Laurie Prather, 2008. "A Liquidity Motivated Algorithm for Discerning Trade Direction," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 45-66, March-Jun.
    28. Travis L. Johnson & Eric C. So, 2018. "A Simple Multimarket Measure of Information Asymmetry," Management Science, INFORMS, vol. 64(3), pages 1055-1080, March.
    29. Grammig, Joachim G. & Theissen, Erik & Wünsche, Oliver, 2011. "Time and the price impact of a trade: A structural approach," CFS Working Paper Series 2011/08, Center for Financial Studies (CFS).
    30. Glenn Kit Foong Ho & Sirimon Treepongkaruna & Marvin Wee & Chaiyuth Padungsaksawasdi, 2022. "The effect of short selling on volatility and jumps," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 34-52, February.
    31. Duarte, Jefferson & Young, Lance, 2009. "Why is PIN priced?," Journal of Financial Economics, Elsevier, vol. 91(2), pages 119-138, February.
    32. Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    33. Chang, Charles & Lin, Emily, 2015. "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 197-213.
    34. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 148-167.
    35. Gordon, Narelle & Watts, Edward & Wu, Qiongbing, 2014. "Information attributes, information asymmetry and industry sector returns," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 156-175.
    36. Jackson, David, 2013. "Estimating PIN for firms with high levels of trading," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 116-120.
    37. Yan, Yuxing & Zhang, Shaojun, 2012. "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 454-467.
    38. Kim, Sangwan & Lim, Steve C., 2017. "Earnings comparability and informed trading," Finance Research Letters, Elsevier, vol. 20(C), pages 130-136.
    39. Goodell, John W. & Kumar, Satish & Lim, Weng Marc & Pattnaik, Debidutta, 2021. "Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    40. Petchey, James & Wee, Marvin & Yang, Joey, 2016. "Pinning down an effective measure for probability of informed trading," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 456-475.
    41. Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.
    42. Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014. "Trade classification accuracy for the BIST," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 259-282.

  11. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 502, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

    Cited by:

    1. 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.
    2. 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.
    3. Ouimet, Frédéric & Tolosana-Delgado, Raimon, 2022. "Asymptotic properties of Dirichlet kernel density estimators," Journal of Multivariate Analysis, Elsevier, vol. 187(C).
    4. Hagmann, M. & Scaillet, O., 2007. "Local multiplicative bias correction for asymmetric kernel density estimators," Journal of Econometrics, Elsevier, vol. 141(1), pages 213-249, November.
    5. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2535-2555.
    6. Pipat Wongsaart & Jiti Gao, 2011. "Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 18/11, Monash University, Department of Econometrics and Business Statistics.
    7. Gurgul Henryk & Machno Artur, 2017. "Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades," Statistics in Transition New Series, Polish Statistical Association, vol. 18(1), pages 91-114, March.
    8. Petra Tomanová & Vladimír Holý, 2021. "Clustering of arrivals in queueing systems: autoregressive conditional duration approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(3), pages 859-874, September.
    9. Masayuki Hirukawa & Mari Sakudo, 2016. "Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels," Econometrics, MDPI, vol. 4(2), pages 1-27, June.
    10. Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
    11. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
    12. Funke, Benedikt & Hirukawa, Masayuki, 2019. "Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach," Econometrics and Statistics, Elsevier, vol. 9(C), pages 156-170.
    13. Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
    14. Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet, 2015. "Testing for symmetry and conditional symmetry using asymmetric kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 649-671, August.
    15. Arthur Lewbel & Xun Lu & Liangjun Su, 2012. "Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models," Boston College Working Papers in Economics 817, Boston College Department of Economics, revised 01 May 2013.
    16. Perera, Indeewara & Koul, Hira L., 2017. "Fitting a two phase threshold multiplicative error model," Journal of Econometrics, Elsevier, vol. 197(2), pages 348-367.
    17. Guo, Bin & Li, Shuo, 2018. "Diagnostic checking of Markov multiplicative error models," Economics Letters, Elsevier, vol. 170(C), pages 139-142.
    18. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," LIDAM Discussion Papers CORE 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    19. Fernandes, Marcelo & Monteiro, Paulo Klinger, 2004. "Central limit theorem for asymmetric kernel functionals," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 522, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    20. Wing Lon Ng, 2010. "Dynamic Order Submission And Herding Behavior In Electronic Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 27-43, March.
    21. Malec, Peter & Schienle, Melanie, 2014. "Nonparametric kernel density estimation near the boundary," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 57-76.
    22. M. Dolores Jiménez-Gamero & Sangyeol Lee & Simos G. Meintanis, 2020. "Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(3), pages 682-703, September.
    23. Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021. "Specification tests for GARCH processes," Discussion Papers 21-06, University of Copenhagen. Department of Economics.
    24. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Finance Working Papers 22483, East Asian Bureau of Economic Research.
    25. Simos G. Meintanis & Bojana Milošević & Marko Obradović, 2020. "Goodness-of-fit tests in conditional duration models," Statistical Papers, Springer, vol. 61(1), pages 123-140, February.
    26. Fernandes, Marcelo & Grammig, Joachim, 2002. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 440, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    27. Xiaodong Jin & Janusz Kawczak, 2003. "Birnbaum-Saunders and Lognormal Kernel Estimators for Modelling Durations in High Frequency Financial Data," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 103-124, May.
    28. Joao Amaro de Matos & Marcelo Fernandes, 2004. "Testing the Markov property with ultra-high frequency financial data," Nova SBE Working Paper Series wp462, Universidade Nova de Lisboa, Nova School of Business and Economics.
    29. Francisco Blasques & Vladimir Holy & Petra Tomanova, 2019. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Tinbergen Institute Discussion Papers 19-004/III, Tinbergen Institute.
    30. Laurini, Márcio Poletti & Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino, 2008. "Empirical market microstructure: An analysis of the BRL/US$ exchange rate market," Emerging Markets Review, Elsevier, vol. 9(4), pages 247-265, December.
    31. Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W., 2015. "A misspecification test for multiplicative error models of non-negative time series processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 346-359.
    32. Masayuki Hirukawa & Mari Sakudo, 2015. "Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 27(1), pages 41-63, March.
    33. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    34. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
    35. 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.
    36. Amaro de Matos, Joao & Fernandes, Marcelo, 2007. "Testing the Markov property with high frequency data," Journal of Econometrics, Elsevier, vol. 141(1), pages 44-64, November.
    37. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    38. 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, Department of Economics, Indiana University Bloomington.
    39. Ke, Rui & Lu, Wanbo & Jia, Jing, 2021. "Evaluating multiplicative error models: A residual-based approach," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).

  12. Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 501, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

    Cited by:

    1. Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2022. "The Econometrics of Financial Duration Modeling," Papers 2208.02098, arXiv.org, revised Dec 2022.
    2. Hallin, Marc & La Vecchia, Davide, 2020. "A Simple R-estimation method for semiparametric duration models," Journal of Econometrics, Elsevier, vol. 218(2), pages 736-749.
    3. 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.
    4. Saulo, Helton & Balakrishnan, Narayanaswamy & Vila, Roberto, 2023. "On a quantile autoregressive conditional duration model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 425-448.
    5. Tse, Yiu-Kuen & Dong, Yingjie, 2014. "Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 352-361.
    6. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," LIDAM Discussion Papers CORE 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Vasileios Siakoulis & Ioannis Venetis, 2015. "On inter-arrival times of bond market extreme events. An application to seven European markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 717-741, October.
    8. Wu, Zhengxiao, 2012. "On the intraday periodicity duration adjustment of high-frequency data," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 282-291.
    9. Helton Saulo & Jeremias Leão, 2017. "On log-symmetric duration models applied to high frequency financial data," Economics Bulletin, AccessEcon, vol. 37(2), pages 1089-1097.
    10. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    11. Pipat Wongsaart & Jiti Gao, 2011. "Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 18/11, Monash University, Department of Econometrics and Business Statistics.
    12. Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
    13. Zikes, Filip & Barunik, Jozef & Shenai, Nikhil, 2015. "Modeling and forecasting persistent financial durations," FinMaP-Working Papers 36, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    14. Eichler, M. & Grothe, O. & Manner, H. & Türk, D.D.T., 2012. "Modeling spike occurrences in electricity spot prices for forecasting," Research Memorandum 029, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    15. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society.
    16. COSMA, Antonio & GALLI, Fausto, 2006. "A nonparametric ACD model," LIDAM Discussion Papers CORE 2006067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    17. N. Balakrishna & Hira L. Koul, 2017. "Varying kernel marginal density estimator for a positive time series," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(3), pages 531-552, July.
    18. Hautsch, Nikolaus, 2007. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," CFS Working Paper Series 2007/25, Center for Financial Studies (CFS).
    19. Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
    20. Fernandes, Marcelo, 2003. "Bounds for the probability distribution function of the linear ACD process," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 488, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    21. Roman Huptas, 2016. "The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(1), pages 1-20, March.
    22. Nikolaus Hautsch & Vahidin Jeleskovic, 2008. "Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2008-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    23. Luintel, Kul B & Xu, Yongdeng, 2013. "Testing weak exogeneity in multiplicative error models," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
    24. Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
    25. Marcelo Fernandes & Marcelo C. Medeiros & Alvaro Veiga, 2016. "A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model," Econometric Reviews, Taylor & Francis Journals, vol. 35(7), pages 1221-1250, August.
    26. Johannes Bleher & Michael Bleher & Thomas Dimpfl, 2020. "From orders to prices: A stochastic description of the limit order book to forecast intraday returns," Papers 2004.11953, arXiv.org, revised May 2021.
    27. Tommaso, Proietti & Helmut, Luetkepohl, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," MPRA Paper 32294, University Library of Munich, Germany.
    28. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
    29. Pooi AH-HIN & Ng KOK-HAUR & Soo HUEI-CHING, 2016. "Modelling and Forecasting with Financial Duration Data Using Non-linear Model," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 79-92.
    30. Mika Meitz & Pentti Saikkonen & University of Helsinki, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
    31. Fernandes, Marcelo & Medeiros, Marcelo C. & Veiga, Alvaro, 2013. "A (semi-)parametric functional coefficient autoregressive conditional duration model," Textos para discussão 343, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    32. Monteiro, André A., 2009. "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS ws097924, Universidad Carlos III de Madrid. Departamento de Estadística.
    33. Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.
    34. Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
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    36. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," LIDAM Discussion Papers CORE 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    37. Brownlees, Christian T. & Gallo, Giampiero M., 2011. "Shrinkage estimation of semiparametric multiplicative error models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 365-378.
    38. Thomas Dimpfl & Stefania Odelli, 2020. "Bitcoin Price Risk—A Durations Perspective," JRFM, MDPI, vol. 13(7), pages 1-18, July.
    39. Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton, 2008. "Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks," Journal of Econometrics, Elsevier, vol. 147(1), pages 163-185, November.
    40. Wing Lon Ng, 2010. "Dynamic Order Submission And Herding Behavior In Electronic Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 27-43, March.
    41. Aerambamoorthy Thavaneswaran & Nalini Ravishanker & You Liang, 2015. "Generalized duration models and optimal estimation using estimating functions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 129-156, February.
    42. Lee, Sangyeol & Oh, Haejune, 2015. "Entropy test and residual empirical process for autoregressive conditional duration models," Computational Statistics & Data Analysis, Elsevier, vol. 86(C), pages 1-12.
    43. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, New Economic School (NES).
    44. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
    45. Yiing Fei Tan & Kok Haur Ng & You Beng Koh & Shelton Peiris, 2022. "Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution," Mathematics, MDPI, vol. 10(10), pages 1-20, May.
    46. Sebastian Letmathe, 2022. "Data-driven P-Splines under short-range dependence," Working Papers CIE 152, Paderborn University, CIE Center for International Economics.
    47. Gómez-Déniz, E. & Pérez-Rodríguez, J.V., 2019. "Modelling bimodality of length of tourist stay," Annals of Tourism Research, Elsevier, vol. 75(C), pages 131-151.
    48. Kulan Ranasinghe & Mervyn J. Silvapulle, 2008. "Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown," Monash Econometrics and Business Statistics Working Papers 1/08, Monash University, Department of Econometrics and Business Statistics.
    49. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    50. Yuanhua Feng & Sarah Forstinger & Christian Peitz, 2013. "On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations," Working Papers CIE 66, Paderborn University, CIE Center for International Economics.
    51. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
    52. Xiaodong Jin & Janusz Kawczak, 2003. "Birnbaum-Saunders and Lognormal Kernel Estimators for Modelling Durations in High Frequency Financial Data," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 103-124, May.
    53. Danúbia R. Cunha & Roberto Vila & Helton Saulo & Rodrigo N. Fernandez, 2020. "A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data," JRFM, MDPI, vol. 13(3), pages 1-20, March.
    54. Grammig, Joachim G. & Theissen, Erik & Wünsche, Oliver, 2011. "Time and the price impact of a trade: A structural approach," CFS Working Paper Series 2011/08, Center for Financial Studies (CFS).
    55. Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
    56. Kulan Ranasinghe & Mervyn J. Silvapulle, 2008. "Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown," Monash Econometrics and Business Statistics Working Papers 5/08, Monash University, Department of Econometrics and Business Statistics.
    57. 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.
    58. Laurini, Márcio Poletti & Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino, 2008. "Empirical market microstructure: An analysis of the BRL/US$ exchange rate market," Emerging Markets Review, Elsevier, vol. 9(4), pages 247-265, December.
    59. Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.
    60. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, Tasmanian School of Business and Economics, revised 01 May 2010.
    61. Pyrlik, Vladimir, 2013. "Autoregressive conditional duration as a model for financial market crashes prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 6041-6051.
    62. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, vol. 28(2), pages 400-411.
    63. Zhang Zongxin & Zhang Xiao, 2011. "Trading duration, mutual funds behavior and stock market shock," China Finance Review International, Emerald Group Publishing Limited, vol. 1(3), pages 220-240, July.
    64. Giovanni De Luca & Giampiero M. Gallo & Danilo Carità, 2017. "Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(2), pages 99-111, December.
    65. Hira L. Koul & Indeewara Perera & Narayana Balakrishna, 2023. "A class of Minimum Distance Estimators in Markovian Multiplicative Error Models," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 87-115, May.
    66. Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
    67. Jan Beran & Yuanhua Feng & Sucharita Ghosh, 2015. "Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models," Statistical Papers, Springer, vol. 56(2), pages 431-451, May.
    68. Adam Clements & Joanne Fuller & Stan Hurn, 2013. "Semi-parametric Forecasting of Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 89(287), pages 508-521, December.
    69. Giampaoli, Iacopo & Ng, Wing Lon & Constantinou, Nick, 2009. "Analysis of ultra-high-frequency financial data using advanced Fourier transforms," Finance Research Letters, Elsevier, vol. 6(1), pages 47-53, March.
    70. Patrick W. Saart & Jiti Gao & David E. Allen, 2015. "Semiparametric Autoregressive Conditional Duration Model: Theory and Practice," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 849-881, December.
    71. Siakoulis, Vasilios, 2015. "Modeling bank default intensity in the USA using autoregressive duration models," MPRA Paper 64526, University Library of Munich, Germany.
    72. 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, Department of Economics, Indiana University Bloomington.
    73. Roman Huptas, 2014. "Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 237-273, December.
    74. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society.
    75. Hautsch, Nikolaus, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Papers 02/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    76. Yingjie Dong & Yiu-Kuen Tse, 2017. "Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility," Econometrics, MDPI, vol. 5(4), pages 1-19, November.

  13. Pierre Giot & Joachim Grammig, 2002. "How large is liquidity risk in an automated auction market?," University of St. Gallen Department of Economics working paper series 2002 2002-23, Department of Economics, University of St. Gallen.

    Cited by:

    1. Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2012. "Measuring market liquidity risk - which model works best?," Journal of Financial Transformation, Capco Institute, vol. 35, pages 133-146.
    2. Georges Dionne & Maria Pacurar & Xiaozhou Zhou, 2014. "Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse," Cahiers de recherche 1414, CIRPEE.
    3. Beltran-Lopez, Héléna & Giot, Pierre & Grammig, Joachim G., 2009. "Commonalities in the order book," CFR Working Papers 09-05, University of Cologne, Centre for Financial Research (CFR).
    4. Levent C. Uslu & Burak Evre, 2017. "Liquidity Adjusted Value At Risk: Integrating The Uncertainty In Depth And Tightness," Eurasian Journal of Business and Management, Eurasian Publications, vol. 5(1), pages 55-69.
    5. Großmaß Lidan, 2014. "Liquidity and the Value at Risk," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 234(5), pages 572-602, October.
    6. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    7. Theo Berger & Christina Uffmann, 2021. "Assessing liquidity‐adjusted risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1179-1189, November.
    8. Peter Gomber & Uwe Schweickert & Erik Theissen, 2015. "Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach," European Financial Management, European Financial Management Association, vol. 21(1), pages 52-78, January.
    9. Holmberg, Ulf, 2012. "Essays on Credit Markets and Banking," Umeå Economic Studies 840, Umeå University, Department of Economics.
    10. Rouetbi Emnal & Mamoghli Chokri, 2014. "Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 40-53.
    11. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
    12. Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2011. "Value at Risk and Expected Shortfall for large portfolios," Finance Research Letters, Elsevier, vol. 8(2), pages 59-68, June.
    13. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers 05-9, HEC Montreal, Canada Research Chair in Risk Management.

  14. Grammig, J. & Schiereck, D. & Theissen, E., 2001. "Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35288, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).

    Cited by:

    1. Duong, Huu Nhan & Kalev, Petko S., 2013. "Anonymity and order submissions," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 101-118.
    2. Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Department of Economics.
    3. Aktas, Nihat & de Bodt, Eric & Declerck, Fany & Van Oppens, Herve, 2007. "The PIN anomaly around M&A announcements," Journal of Financial Markets, Elsevier, vol. 10(2), pages 169-191, May.
    4. Erik Theissen, 2003. "Trader Anonymity, Price Formation and Liquidity," Review of Finance, European Finance Association, vol. 7(1), pages 1-26.
    5. Christiane Goodfellow & Martin T. Bohl, 2011. "Forestalling Floor Closure: Evidence from a Natural Experiment on the German Stock Market," Post-Print hal-00676103, HAL.
    6. Dennis, Patrick J. & Sandås, Patrik, 2014. "Does Trading Anonymously Enhance Liquidity?," Working Paper Series 288, Sveriges Riksbank (Central Bank of Sweden).
    7. Goodfellow, Christiane & Schiereck, Dirk & Verrier, Tatjana, 2010. "Does screen trading weather the weather? A note on cloudy skies, liquidity, and computerized stock markets," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 77-80, March.
    8. Haoxiang Zhu, 2014. "Do Dark Pools Harm Price Discovery?," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 747-789.
    9. Joachim Grammig & Erik Theissen, 2003. "Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?," University of St. Gallen Department of Economics working paper series 2003 2003-01, Department of Economics, University of St. Gallen.
    10. William Lin, Hsiou-Wei & Ke, Wen-Chyan, 2011. "A computing bias in estimating the probability of informed trading," Journal of Financial Markets, Elsevier, vol. 14(4), pages 625-640, November.
    11. Thomas Pöppe & Michael Aitken & Dirk Schiereck & Ingo Wiegand, 2016. "A PIN per day shows what news convey: the intraday probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1187-1220, November.
    12. Claudio Impenna & Paola Paiardini, 2019. "Informed trading in a two-tier market structure under financial distress," Discussion Papers 19-06, Department of Economics, University of Birmingham.
    13. Tao Chen, 2020. "Trade‐size clustering and informed trading in global markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 579-597, October.
    14. Comerton-Forde, Carole & Tang, Kar Mei, 2009. "Anonymity, liquidity and fragmentation," Journal of Financial Markets, Elsevier, vol. 12(3), pages 337-367, August.
    15. Theissen, Erik, 2003. "Organized equity markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies (CFS).
    16. Dirk Schiereck & Christian Voigt, 2010. "With or without you: market quality of floor trading when screen trading closes early," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 179-197, February.
    17. Alexandra Hachmeister & Dirk Schiereck, 2010. "Dancing in the dark: post-trade anonymity, liquidity and informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 145-177, February.
    18. Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017. "Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate," Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
    19. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
    20. Jan Hanousek & František Kopøiva, 2011. "Detecting Information-Driven Trading in a Dealers Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 204-229, July.
    21. Hoffmann, Peter, 2016. "Adverse selection, market access, and inter-market competition," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 108-119.
    22. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    23. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2015. "Price Discovery in Brazilian FX Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
    24. Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    25. Arzé Karam, 2022. "Dealers' incentives to reveal their names," The Financial Review, Eastern Finance Association, vol. 57(1), pages 27-44, February.
    26. Chen, Tao, 2021. "Informed trading and earnings announcement driven disagreement in global markets," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 43(C).
    27. Marzo, Massimiliano & Zagaglia, Paolo, 2014. "Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 487-499.
    28. Dennis, Patrick J. & Sandås, Patrik, 2020. "Does Trading Anonymously Enhance Liquidity?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(7), pages 2372-2396, November.

  15. 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.

    Cited by:

    1. Bhatti, Chad R., 2009. "On the interday homogeneity in the intraday rate of trading," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(7), pages 2250-2257.
    2. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Artur Sokolovsky & Luca Arnaboldi, 2020. "A Generic Methodology for the Statistically Uniform & Comparable Evaluation of Automated Trading Platform Components," Papers 2009.09993, arXiv.org, revised Jun 2022.
    4. Veredas, David & Rodríguez Poo, Juan M. & Espasa, Antoni, 2001. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," DES - Working Papers. Statistics and Econometrics. WS ws013321, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    6. Helton Saulo & Jeremias Leão & Víctor Leiva & Robert G. Aykroyd, 2019. "Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data," Statistical Papers, Springer, vol. 60(5), pages 1605-1629, October.
    7. 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.
    8. Vasileios Siakoulis & Ioannis Venetis, 2015. "On inter-arrival times of bond market extreme events. An application to seven European markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 717-741, October.
    9. Wu, Zhengxiao, 2012. "On the intraday periodicity duration adjustment of high-frequency data," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 282-291.
    10. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2535-2555.
    11. Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023. "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers 10523, Center for Quantitative Economics (CQE), University of Muenster.
    12. Grammig, Joachim & Kehrle, Kerstin, 2008. "A new marked point process model for the federal funds rate target: Methodology and forecast evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2370-2396, July.
    13. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    14. Pipat Wongsaart & Jiti Gao, 2011. "Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 18/11, Monash University, Department of Econometrics and Business Statistics.
    15. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society.
    16. Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," Umeå Economic Studies 657, Umeå University, Department of Economics.
    17. Allen, David & Ng, K.H. & Peiris, Shelton, 2013. "The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics," Economics Letters, Elsevier, vol. 120(1), pages 117-122.
    18. GIOT, Pierre & PETITJEAN, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," LIDAM Reprints CORE 1982, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    19. COSMA, Antonio & GALLI, Fausto, 2006. "A nonparametric ACD model," LIDAM Discussion Papers CORE 2006067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    20. Dungey, Mardi & Long, Xiangdong & Ullah, Aman & Wang, Yun, 2014. "A semiparametric conditional duration model," Economics Letters, Elsevier, vol. 124(3), pages 362-366.
    21. Petra Tomanová & Vladimír Holý, 2021. "Clustering of arrivals in queueing systems: autoregressive conditional duration approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(3), pages 859-874, September.
    22. Bhatti, Chad R., 2010. "The Birnbaum–Saunders autoregressive conditional duration model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2062-2078.
    23. Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.
    24. Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo, 2016. "The role of volume in order book dynamics: a multivariate Hawkes process analysis," Papers 1602.07663, arXiv.org.
    25. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.
    26. Stanislav Anatolyev & Grigory Kosenok, 2006. "Tests in contingency tables as regression tests," Working Papers w0075, New Economic School (NES).
    27. Roman Huptas, 2016. "The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(1), pages 1-20, March.
    28. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CARF F-Series CARF-F-045, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    29. Nikolaus Hautsch & Vahidin Jeleskovic, 2008. "Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2008-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    30. Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
    31. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
    32. Heinen, Andreas & Rengifo, Erick, 2007. "Multivariate autoregressive modeling of time series count data using copulas," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 564-583, September.
    33. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024.
    34. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
    35. Zdeněk Zmeškal & Dana Dluhošová & Karolina Lisztwanová & Antonín Pončík & Iveta Ratmanová, 2023. "Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy," Forecasting, MDPI, vol. 5(2), pages 1-19, May.
    36. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute.
    37. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," LIDAM Discussion Papers CORE 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    38. Brownlees, Christian T. & Gallo, Giampiero M., 2011. "Shrinkage estimation of semiparametric multiplicative error models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 365-378.
    39. Geweke, John & Amisano, Gianni, 2010. "Comparing and evaluating Bayesian predictive distributions of asset returns," International Journal of Forecasting, Elsevier, vol. 26(2), pages 216-230, April.
    40. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    41. Harvey, Andrew & Ito, Ryoko, 2020. "Modeling time series when some observations are zero," Journal of Econometrics, Elsevier, vol. 214(1), pages 33-45.
    42. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March.
    43. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
    44. Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011. "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers 11/11, Monash University, Department of Econometrics and Business Statistics.
    45. Wing Lon Ng, 2010. "Dynamic Order Submission And Herding Behavior In Electronic Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 27-43, March.
    46. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
    47. Katarzyna Bien-Barkowska, 2011. "Distribution Choice for the Asymmetric ACD Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 55-72.
    48. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
    49. Andrew Harvey & Ryoko Ito, 2017. "Modeling time series with zero observations," Economics Papers 2017-W01, Economics Group, Nuffield College, University of Oxford.
    50. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, New Economic School (NES).
    51. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.
    52. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
    53. Andres, P. & Harvey, A., 2012. "The Dyanamic Location/Scale Model: with applications to intra-day financial data," Cambridge Working Papers in Economics 1240, Faculty of Economics, University of Cambridge.
    54. Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010. "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers 2/10, Monash University, Department of Econometrics and Business Statistics.
    55. Andres, Philipp, 2014. "Maximum likelihood estimates for positive valued dynamic score models; The DySco package," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 34-42.
    56. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    57. Liu, Shouwei & Tse, Yiu-Kuen, 2015. "Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach," Journal of Econometrics, Elsevier, vol. 189(2), pages 437-446.
    58. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Finance Working Papers 22483, East Asian Bureau of Economic Research.
    59. GIOT, Pierre, 2003. "The information content of implied volatility indexes for forecasting volatility and market risk," LIDAM Discussion Papers CORE 2003027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    60. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
    61. Fernandes, Marcelo & Grammig, Joachim, 2002. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 440, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    62. Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
    63. Tae-Hwy Lee & Yong Bao & Burak Saltoğlu, 2007. "Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003;," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 203-225.
    64. Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
    65. 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.
    66. Francisco Blasques & Vladimir Holy & Petra Tomanova, 2019. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Tinbergen Institute Discussion Papers 19-004/III, Tinbergen Institute.
    67. Laurini, Márcio Poletti & Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino, 2008. "Empirical market microstructure: An analysis of the BRL/US$ exchange rate market," Emerging Markets Review, Elsevier, vol. 9(4), pages 247-265, December.
    68. Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W., 2015. "A misspecification test for multiplicative error models of non-negative time series processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 346-359.
    69. Fernando Rojas, 2017. "A methodology for stochastic inventory modelling with ARMA triangular distribution for new products," Cogent Business & Management, Taylor & Francis Journals, vol. 4(1), pages 1270706-127, January.
    70. Hujer Reinhard & Grammig Joachim & Kokot Stefan, 2000. "Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 220(6), pages 689-714, December.
    71. Rouetbi Emnal & Mamoghli Chokri, 2014. "Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 40-53.
    72. Herrera, Rodrigo & Schipp, Bernhard, 2013. "Value at risk forecasts by extreme value models in a conditional duration framework," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 33-47.
    73. DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David, 2004. "Testing weak exogeneity in the exponential family : an application to financial point processes," LIDAM Discussion Papers CORE 2004049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    74. Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018. "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 295-321, February.
    75. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    76. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May.
    77. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 329-348.
    78. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
    79. 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.
    80. Meade, Nigel, 2010. "Oil prices -- Brownian motion or mean reversion? A study using a one year ahead density forecast criterion," Energy Economics, Elsevier, vol. 32(6), pages 1485-1498, November.
    81. Amaro de Matos, Joao & Fernandes, Marcelo, 2007. "Testing the Markov property with high frequency data," Journal of Econometrics, Elsevier, vol. 141(1), pages 44-64, November.
    82. Giampaoli, Iacopo & Ng, Wing Lon & Constantinou, Nick, 2009. "Analysis of ultra-high-frequency financial data using advanced Fourier transforms," Finance Research Letters, Elsevier, vol. 6(1), pages 47-53, March.
    83. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
    84. Siakoulis, Vasilios, 2015. "Modeling bank default intensity in the USA using autoregressive duration models," MPRA Paper 64526, University Library of Munich, Germany.
    85. 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, Department of Economics, Indiana University Bloomington.
    86. Lanne, Markku & Ahoniemi, Katja, 2008. "Implied Volatility with Time-Varying Regime Probabilities," MPRA Paper 23721, University Library of Munich, Germany.
    87. Roman Huptas, 2014. "Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 237-273, December.
    88. 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.
    89. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society.
    90. Ma, Boyuan & Chu, Tingjin & Jin, Zhuo, 2022. "Frequency and severity estimation of cyber attacks using spatial clustering analysis," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 33-45.
    91. Hautsch, Nikolaus, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Papers 02/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    92. Gerhard, Frank & Hautsch, Nikolaus, 2000. "Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model," CoFE Discussion Papers 00/20, University of Konstanz, Center of Finance and Econometrics (CoFE).
    93. Emna Rouetbi & Chokri Mamoghli, 2014. "Measuring Liquidity in an Emerging Market: The Tunis Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 920-929.
    94. 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.
    95. Renault, Eric & van der Heijden, Thijs & Werker, Bas J.M., 2014. "The dynamic mixed hitting-time model for multiple transaction prices and times," Journal of Econometrics, Elsevier, vol. 180(2), pages 233-250.

  16. Grammig, J. & Schiereck, D. & Theissen, E., 2000. "Informationsbasierter Aktienhandel über IBIS," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35295, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).

    Cited by:

    1. Erik Theissen, 2002. "Floor versus Screen Trading: Evidence from the German Stock Market," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 158(1), pages 32-54, March.
    2. Trifan, Emanuela, 2004. "Entscheidungsregeln und ihr Einfluss auf den Aktienkurs," Darmstadt Discussion Papers in Economics 131, Darmstadt University of Technology, Department of Law and Economics.
    3. Dirk Schiereck & Christian Voigt, 2010. "With or without you: market quality of floor trading when screen trading closes early," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 179-197, February.
    4. Christian Leuz, 2003. "IAS Versus U.S. GAAP: Information Asymmetry–Based Evidence from Germany's New Market," Journal of Accounting Research, Wiley Blackwell, vol. 41(3), pages 445-472, June.

  17. Michael Melvin & Joachim Grammig & Christian Schlag, "undated". "Price Discovery in International Equity Trading," Working Papers 2133299, Department of Economics, W. P. Carey School of Business, Arizona State University.

    Cited by:

    1. Karolyi, G. Andrew, 2003. "DaimlerChrysler AG, the first truly global share," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 409-430, September.
    2. Jokivuolle, Esa & Lanne, Markku, 2004. "Trading Nokia: the roles of the Helsinki vs the New York stock exchanges," Bank of Finland Research Discussion Papers 26/2004, Bank of Finland.
    3. Koedijk, C.G. & van Dijk, M.A., 2002. "The Cost of Capital of Cross-Listed Firms," ERIM Report Series Research in Management ERS-2002-99-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    4. Ben Sita, Bernard & Abdallah, Wissam, 2014. "Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 183-199.
    5. Kaltenhäuser, Bernd, 2001. "Explaining the Dollar-Euro rate: Do stock market returns mater?," CFS Working Paper Series 2001/06, Center for Financial Studies (CFS).
    6. Wang, Xue & Yao, Lee J. & Fang, Victor, 2013. "Stock prices and the location of trade: Evidence from China-backed ADRs," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 677-688.
    7. Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 947-960, June.
    8. Pascual, Roberto & Pascual Fuste, Bartolomé & Climent, Francisco, 2001. "Cross-listing, price discovery and the informativeness of the trading process," DEE - Working Papers. Business Economics. WB wb014511, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    9. Theissen, Erik, 2003. "Organized equity markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies (CFS).
    10. Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.
    11. Jaiswal-Dale, Ameeta & Jithendranathan, Thadavillil, 2009. "Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks," Journal of Multinational Financial Management, Elsevier, vol. 19(5), pages 395-408, December.
    12. Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung, 2014. "Industry co-movement and cross-listing: Do home country factors matter?," Japan and the World Economy, Elsevier, vol. 32(C), pages 96-110.
    13. Liu, Qingfu & An, Yunbi, 2011. "Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 778-795, September.

Articles

  1. Joachim Grammig & Andreas Schrimpf & Michael Schuppli, 2009. "Long-horizon consumption risk and the cross-section of returns: new tests and international evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 511-532.
    See citations under working paper version above.
  2. Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns," Review of Financial Economics, Elsevier, vol. 18(3), pages 113-123, August.
    See citations under working paper version above.
  3. Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig, 2009. "Commonalities in the order book," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 209-242, September.
    See citations under working paper version above.
  4. Grammig, Joachim & Kehrle, Kerstin, 2008. "A new marked point process model for the federal funds rate target: Methodology and forecast evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2370-2396, July.

    Cited by:

    1. Lahiri, Kajal & Yang, Liu, 2013. "Forecasting Binary Outcomes," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1025-1106, Elsevier.
    2. Sjoerd van den Hauwe & Dick van Dijk & Richard Paap, 2011. "Bayesian Forecasting of Federal Funds Target Rate Decisions," Tinbergen Institute Discussion Papers 11-093/4, Tinbergen Institute.
    3. Duan, Qihong & Wei, Ying & Chen, Zhiping, 2014. "Relationship between the benchmark interest rate and a macroeconomic indicator," Economic Modelling, Elsevier, vol. 38(C), pages 220-226.
    4. Sandra Schmidt & Dieter Nautz, 2012. "Central Bank Communication and the Perception of Monetary Policy by Financial Market Experts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(2‐3), pages 323-340, March.
    5. Claudia Czado & Tilmann Gneiting & Leonhard Held, 2009. "Predictive Model Assessment for Count Data," Biometrics, The International Biometric Society, vol. 65(4), pages 1254-1261, December.
    6. Nicholas Taylor, 2010. "The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 399-420, March.
    7. Feunou Bruno & Fontaine Jean-Sébastien & Jin Jianjian, 2021. "What model for the target rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-23, February.
    8. Seibert, Armin & Sirchenko, Andrei & Müller, Gernot, 2021. "A model for policy interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
    9. Kim, Hyerim & Kang, Kyu Ho, 2022. "The Bank of Korea watch," Journal of International Money and Finance, Elsevier, vol. 126(C).

  5. Boehmer, Ekkehart & Grammig, Joachim & Theissen, Erik, 2007. "Estimating the probability of informed trading--does trade misclassification matter?," Journal of Financial Markets, Elsevier, vol. 10(1), pages 26-47, February.
    See citations under working paper version above.
  6. Stefan Frey & Joachim Grammig, 2006. "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, vol. 30(4), pages 1007-1033, January.

    Cited by:

    1. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2017. "Effects of limit order book information level on market stability metrics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 221-247, July.
    2. Frey, Stefan & Sandås, Patrik, 2009. "The impact of iceberg orders in limit order books," CFR Working Papers 09-06, University of Cologne, Centre for Financial Research (CFR).
    3. Miguel A. Acedo & Fco. Javier Ruiz & Rafael Santamaría, 2008. "Influence of Secondary Offerings on the Liquidity and Trading Activity of Stocks Outstanding," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(01-02), pages 21-37, January.
    4. Sperl, Miriam, 2008. "Quantifying the efficiency of the Xetra LOB market: Detailed recipe," CFS Working Paper Series 2008/21, Center for Financial Studies (CFS).
    5. Alexandra Hachmeister & Dirk Schiereck, 2010. "Dancing in the dark: post-trade anonymity, liquidity and informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 145-177, February.
    6. Frey, Stefan & Sandås, Patrik, 2008. "The impact of hidden liquidity in limit order books," CFS Working Paper Series 2008/48, Center for Financial Studies (CFS).
    7. Gimenez, G. & Sanau, J., 2009. "Investment, Human Capital and Institutions: A Multi-equational Approach for the Study of Economic Growth, 1985-2000," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    8. Yuelin Li & Mehdi Sadeghi, 2009. "Price Performance and Liquidity Effects of Index Additions and Deletions: Evidence from Chinese Equity Markets," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 1(2), pages 1652-1652, December.
    9. Stefan Frey & Patrik Sandås, 2017. "The Impact of Iceberg Orders in Limit Order Books," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(03), pages 1-43, September.
    10. Cumhur Ekinci, 2005. "Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange," Finance 0510025, University Library of Munich, Germany, revised 24 Oct 2005.

  7. Pierre Giot & Joachim Grammig, 2006. "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, vol. 30(4), pages 867-887, January.
    See citations under working paper version above.
  8. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
    See citations under working paper version above.
  9. Grammig, Joachim & Melvin, Michael & Schlag, Christian, 2005. "Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 139-164, January.
    See citations under working paper version above.
  10. Michael Scheidler & Reinhard Hujer & Joachim Grammig, 2005. "Discrete choice modelling in airline network management," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(4), pages 467-486.

    Cited by:

    1. Wen, Chieh-Hua & Huang, Chia-Jung & Fu, Chiang, 2020. "Incorporating continuous representation of preferences for flight departure times into stated itinerary choice modeling," Transport Policy, Elsevier, vol. 98(C), pages 10-20.
    2. Oum, Tae H. & Yan, Jia & Yu, Chunyan, 2008. "Ownership forms matter for airport efficiency: A stochastic frontier investigation of worldwide airports," Journal of Urban Economics, Elsevier, vol. 64(2), pages 422-435, September.
    3. Judit Guimera Busquets & Eduardo Alonso & Antony D. Evans, 2018. "Air itinerary shares estimation using multinomial logit models," Transportation Planning and Technology, Taylor & Francis Journals, vol. 41(1), pages 3-16, January.
    4. Lesgourgues, Augustin & Malavolti, Estelle, 2023. "Social cost of airline delays: Assessment by the use of revenue management data," Transportation Research Part A: Policy and Practice, Elsevier, vol. 170(C).
    5. Koppelman, Frank S. & Coldren, Gregory M. & Parker, Roger A., 2008. "Schedule delay impacts on air-travel itinerary demand," Transportation Research Part B: Methodological, Elsevier, vol. 42(3), pages 263-273, March.
    6. Wen, Chieh-Hua & Chen, Po-Hung, 2017. "Passenger booking timing for low-cost airlines: A continuous logit approach," Journal of Air Transport Management, Elsevier, vol. 64(PA), pages 91-99.

  11. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
    See citations under working paper version above.
  12. 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.
    See citations under working paper version above.
  13. 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.

    Cited by:

    1. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford.
    2. Artur Sokolovsky & Luca Arnaboldi, 2020. "A Generic Methodology for the Statistically Uniform & Comparable Evaluation of Automated Trading Platform Components," Papers 2009.09993, arXiv.org, revised Jun 2022.
    3. 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.
    4. Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, vol. 160(1), pages 272-279, January.
    5. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2535-2555.
    6. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    7. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    8. Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," Umeå Economic Studies 657, Umeå University, Department of Economics.
    9. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
    10. Luc Bauwens & David Veredas, 2004. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," ULB Institutional Repository 2013/136234, ULB -- Universite Libre de Bruxelles.
    11. Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos, 2006. "Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 630, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    12. Hautsch, Nikolaus, 2007. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," CFS Working Paper Series 2007/25, Center for Financial Studies (CFS).
    13. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.
    14. GIOT, Pierre, 2001. "Time transformations, intraday data, and volatility models," LIDAM Reprints CORE 1500, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Luintel, Kul B & Xu, Yongdeng, 2013. "Testing weak exogeneity in multiplicative error models," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
    16. Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
    17. Simonsen, Ola, 2006. "The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden," Umeå Economic Studies 688, Umeå University, Department of Economics.
    18. Vladim'ir Hol'y, 2022. "An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations," Papers 2211.12376, arXiv.org, revised Sep 2023.
    19. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," LIDAM Discussion Papers CORE 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    20. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    21. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March.
    22. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
    23. Alva, Kenedy & Romo, Juan & Ruiz Ortega, Esther, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS ws092809, Universidad Carlos III de Madrid. Departamento de Estadística.
    24. Katarzyna Bien-Barkowska, 2011. "Distribution Choice for the Asymmetric ACD Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 55-72.
    25. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, New Economic School (NES).
    26. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.
    27. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
    28. Simonsen, Ola, 2006. "Stock Data, Trade Durations, And Limit Order Book Information," Umeå Economic Studies 689, Umeå University, Department of Economics.
    29. Allen, David & Ng, K.H. & Peiris, Shelton, 2013. "Estimating and simulating Weibull models of risk or price durations: An application to ACD models," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 214-225.
    30. Grammig, Joachim G. & Theissen, Erik & Wünsche, Oliver, 2011. "Time and the price impact of a trade: A structural approach," CFS Working Paper Series 2011/08, Center for Financial Studies (CFS).
    31. Karaa, Rabaa & Slim, Skander & Hmaied, Dorra Mezzez, 2018. "Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange," Research in International Business and Finance, Elsevier, vol. 44(C), pages 88-99.
    32. Francisco Blasques & Vladimir Holy & Petra Tomanova, 2019. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Tinbergen Institute Discussion Papers 19-004/III, Tinbergen Institute.
    33. Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.
    34. Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2008. "Time-Deformation Modeling Of Stock Returns Directed By Duration Processes," Working Papers 08010, University of Waterloo, Department of Economics.
    35. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
    36. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 329-348.
    37. Hira L. Koul & Indeewara Perera & Narayana Balakrishna, 2023. "A class of Minimum Distance Estimators in Markovian Multiplicative Error Models," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 87-115, May.
    38. Samuel Gingras & William J. McCausland, 2020. "A Flexible Stochastic Conditional Duration Model," Papers 2005.09166, arXiv.org.
    39. Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2015. "Time-Deformation Modeling of Stock Returns Directed by Duration Processes," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 480-511, April.
    40. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers 05-9, HEC Montreal, Canada Research Chair in Risk Management.
    41. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.

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    See citations under working paper version above.
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    Cited by:

    1. 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.
    2. Bhatti, Chad R., 2009. "On the interday homogeneity in the intraday rate of trading," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(7), pages 2250-2257.
    3. Herrera, Rodrigo & González, Nicolás, 2014. "The modeling and forecasting of extreme events in electricity spot markets," International Journal of Forecasting, Elsevier, vol. 30(3), pages 477-490.
    4. Helton Saulo & Jeremias Leão & Víctor Leiva & Robert G. Aykroyd, 2019. "Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data," Statistical Papers, Springer, vol. 60(5), pages 1605-1629, October.
    5. Saulo, Helton & Balakrishnan, Narayanaswamy & Vila, Roberto, 2023. "On a quantile autoregressive conditional duration model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 425-448.
    6. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," LIDAM Discussion Papers CORE 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Vasileios Siakoulis & Ioannis Venetis, 2015. "On inter-arrival times of bond market extreme events. An application to seven European markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 717-741, October.
    8. De Luca, Giovanni & Zuccolotto, Paola, 2006. "Regime-switching Pareto distributions for ACD models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2179-2191, December.
    9. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2535-2555.
    10. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    11. Hautsch, Nikolaus & Pohlmeier, Winfried, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Papers 01/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    12. 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, Informatica, Applicazioni "G. Parenti".
    13. Pipat Wongsaart & Jiti Gao, 2011. "Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 18/11, Monash University, Department of Econometrics and Business Statistics.
    14. Zikes, Filip & Barunik, Jozef & Shenai, Nikhil, 2015. "Modeling and forecasting persistent financial durations," FinMaP-Working Papers 36, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    15. Gerhard, Frank & Hautsch, Nikolaus, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Papers 99/19, University of Konstanz, Center of Finance and Econometrics (CoFE).
    16. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    17. Allen, David & Ng, K.H. & Peiris, Shelton, 2013. "The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics," Economics Letters, Elsevier, vol. 120(1), pages 117-122.
    18. Georges Dionne & Maria Pacurar & Xiaozhou Zhou, 2014. "Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse," Cahiers de recherche 1414, CIRPEE.
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    20. Luc Bauwens & David Veredas, 2004. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," ULB Institutional Repository 2013/136234, ULB -- Universite Libre de Bruxelles.
    21. Dungey, Mardi & Long, Xiangdong & Ullah, Aman & Wang, Yun, 2014. "A semiparametric conditional duration model," Economics Letters, Elsevier, vol. 124(3), pages 362-366.
    22. Bhatti, Chad R., 2010. "The Birnbaum–Saunders autoregressive conditional duration model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2062-2078.
    23. Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers 12-020/4, Tinbergen Institute.
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    30. Myriam Ben Ayed & Adel Karaa & Jean-Luc Prigent, 2018. "Duration Models For Credit Rating Migration: Evidence From The Financial Crisis," Post-Print hal-03679407, HAL.
    31. Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
    32. Bhatti, Chad R., 2009. "Intraday trade and quote dynamics: A Cox regression analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(7), pages 2240-2249.
    33. Johannes Prix & Otto Loistl & Michael Huetl, 2007. "Algorithmic Trading Patterns in Xetra Orders," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 717-739.
    34. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024.
    35. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
    36. Tony S. Wirjanto & Adam W. Kolkiewicz & Zhongxian Men, 2013. "Stochastic Conditional Duration Models with Mixture Processes," Working Paper series 29_13, Rimini Centre for Economic Analysis.
    37. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
    38. BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre, 2003. "The moments of Log-ACD models," LIDAM Discussion Papers CORE 2003011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    39. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, New Economic School (NES).
    40. Katarzyna Bien-Barkowska, 2011. "Distribution Choice for the Asymmetric ACD Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 55-72.
    41. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
    42. Zhang, Yaohua & Zou, Jian & Ravishanker, Nalini & Thavaneswaran, Aerambamoorthy, 2019. "Modeling financial durations using penalized estimating functions," Computational Statistics & Data Analysis, Elsevier, vol. 131(C), pages 145-158.
    43. Lee Tae-Hwy & Wang He & Xi Zhou & Zhang Ru, 2023. "Density Forecast of Financial Returns Using Decomposition and Maximum Entropy," Journal of Econometric Methods, De Gruyter, vol. 12(1), pages 57-83, January.
    44. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, New Economic School (NES).
    45. Katarzyna Bien-Barkowska, 2012. ""Does it take volume to move fx rates?" Evidence from quantile regressions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 35-52.
    46. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
    47. Andres, P. & Harvey, A., 2012. "The Dyanamic Location/Scale Model: with applications to intra-day financial data," Cambridge Working Papers in Economics 1240, Faculty of Economics, University of Cambridge.
    48. Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015. "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers 15-027/III, Tinbergen Institute, revised 07 Sep 2015.
    49. Yiing Fei Tan & Kok Haur Ng & You Beng Koh & Shelton Peiris, 2022. "Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution," Mathematics, MDPI, vol. 10(10), pages 1-20, May.
    50. Andres, Philipp, 2014. "Maximum likelihood estimates for positive valued dynamic score models; The DySco package," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 34-42.
    51. Gómez-Déniz, E. & Pérez-Rodríguez, J.V., 2019. "Modelling bimodality of length of tourist stay," Annals of Tourism Research, Elsevier, vol. 75(C), pages 131-151.
    52. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    53. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Finance Working Papers 22483, East Asian Bureau of Economic Research.
    54. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
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    56. Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2016. "Solvency capital requirement for a temporal dependent losses in insurance," Economic Modelling, Elsevier, vol. 58(C), pages 588-598.
    57. Danúbia R. Cunha & Roberto Vila & Helton Saulo & Rodrigo N. Fernandez, 2020. "A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data," JRFM, MDPI, vol. 13(3), pages 1-20, March.
    58. Katarzyna Bień-Barkowska, 2012. "A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 117-142, June.
    59. Volodymyr Korniichuk, 2012. "Forecasting extreme electricity spot prices," Cologne Graduate School Working Paper Series 03-14, Cologne Graduate School in Management, Economics and Social Sciences.
    60. Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
    61. 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.
    62. Francisco Blasques & Vladimir Holy & Petra Tomanova, 2019. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Tinbergen Institute Discussion Papers 19-004/III, Tinbergen Institute.
    63. Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo, 2010. "Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market," Working Papers 10451, University of Tasmania, Tasmanian School of Business and Economics, revised 30 May 2012.
    64. Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W., 2015. "A misspecification test for multiplicative error models of non-negative time series processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 346-359.
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    73. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
    74. Hira L. Koul & Indeewara Perera & Narayana Balakrishna, 2023. "A class of Minimum Distance Estimators in Markovian Multiplicative Error Models," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 87-115, May.
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