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Citations of
David Veredas

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2009. "Market Liquidity as Dynamic Factors," ECARES Working Papers 2009_004, Université Libre de Bruxelles, Ecares. [Downloadable!]

    Cited by:

    1. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Birger Nilsson, 2009. "Dynamics in systematic liquidity," Working Papers 2009-025, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:

  2. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research Department. [Downloadable!]
    Published as:

    Cited by:

    1. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]

  3. Seethepalli, Kalpana & Bramati, Maria Caterina & Veredas, David, 2008. "How relevant is infrastructure to growth in East Asia ?," Policy Research Working Paper Series 4597, The World Bank. [Downloadable!]

    Cited by:

    1. Straub, Stephane & Vellutini, Charles & Warlters, Michael, 2008. "Infrastructure and economic growth in East Asia," Policy Research Working Paper Series 4589, The World Bank. [Downloadable!]

  4. SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," CORE Discussion Papers 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Other versions:

    Cited by:

    1. Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008. "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, vol. 34(3), pages 493-524, June. [Downloadable!] (restricted)

  5. PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," CORE Discussion Papers 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

    Cited by:

    1. 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. [Downloadable!]
      Other versions:
    2. David Abad & José Yagüe & Sonia Sanabria, 2005. "Liquidity And Information Around Annual Earnings Announcements: An Intraday Analysis Of The Spanish Stock Market," Working Papers. Serie EC 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    3. PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," CORE Discussion Papers 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  6. MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004. "Using intra annual information to forecast the annual state deficits : the case of France," CORE Discussion Papers 2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

    Cited by:

    1. Javier J. Pérez, 2005. "Early-warning tools to forecast general government deficit in the euro area: the role of intra-annual fiscal indicators," Working Paper Series 497, European Central Bank. [Downloadable!]
      Other versions:
    2. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:

  7. DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David, 2004. "Testing weak exogeneity in the exponential family : an application to financial point processes," CORE Discussion Papers 2004049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

    Cited by:

    1. Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE. [Downloadable!]

  8. VEREDAS, David & RODRIGUEZ, Juan & ESPASA, Antoni, 2002. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," CORE Discussion Papers 2002023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Other versions:

    Cited by:

    1. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    2. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    3. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  9. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    2. DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David, 2004. "Testing weak exogeneity in the exponential family : an application to financial point processes," CORE Discussion Papers 2004049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    3. Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004. [Downloadable!]
      Other versions:
    4. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    5. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K., 2006. "Nonparametric density estimation for positive time series," CORE Discussion Papers 2006085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    6. Frank Gerhard & Nikolaus Hautsch, 2006. "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers 2006/05, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
      Other versions:
    7. 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. [Downloadable!] (restricted)
    8. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    9. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    10. David Veredas & Juan M. Rodríguez-Poo & Antoni Espasa, 2001. "On The (Intradaily) Seasonality And Dynamics Of A Financial Point Process: A Semiparametric Approach," Statistics and Econometrics Working Papers ws013321, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
      Other versions:
    11. 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. [Downloadable!]
    12. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CIRJE F-Series CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    13. GIOT, Pierre, 2003. "The information content of implied volatility indexes for forecasting volatility and market risk," CORE Discussion Papers 2003027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    14. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society. [Downloadable!]
    15. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    16. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March. [Downloadable!] (restricted)
    17. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," CORE Discussion Papers 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    18. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute. [Downloadable!]
      Other versions:
    19. Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S., 2008. "Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data," Ibmec Working Papers wpe_101, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    20. Nikolaus Hautsch, 2006. "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers 2006/06, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    21. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society. [Downloadable!]
    22. Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," UmeÃ¥ Economic Studies 657, Umeå University, Department of Economics. [Downloadable!]
    23. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Working Papers 13-2007, Singapore Management University, School of Economics. [Downloadable!]
    24. John Geweke & Gianni Amisano, 2008. "Comparing and evaluating Bayesian predictive distributions of asset returns," Working Paper Series 969, European Central Bank. [Downloadable!]

  10. BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

    Cited by:

    1. Nikolaus Hautsch, 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. [Downloadable!]
      Other versions:
    2. Peter X.-K. Song & Yanqin Fan & John D. Kalbfleisch, 2003. "Maximization by Parts in Likelihood Inference," Working Papers 0319, Department of Economics, Vanderbilt University. [Downloadable!]
    3. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society. [Downloadable!]
      Other versions:
    4. 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. [Downloadable!]
      Other versions:
    5. Frank Gerhard & Nikolaus Hautsch, 2006. "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers 2006/05, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
      Other versions:
    6. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    7. David Veredas & Juan M. Rodríguez-Poo & Antoni Espasa, 2001. "On The (Intradaily) Seasonality And Dynamics Of A Financial Point Process: A Semiparametric Approach," Statistics and Econometrics Working Papers ws013321, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
      Other versions:
    8. André A. Monteiro, 2008. "Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation," Tinbergen Institute Discussion Papers 08-021/2, Tinbergen Institute. [Downloadable!]
    9. Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    10. Giovanni De Luca & Giampiero Gallo, 2006. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2006_12, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:
    11. 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. [Downloadable!]
      Other versions:
    12. PREMINGER, Arie & HAFNER, Christian M., 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," CORE Discussion Papers 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    13. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    14. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    15. Nikolaus Hautsch, 2005. "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers 2005/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    16. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    17. Luc, BAUWENS & Fausto Galli, 2007. "Efficient importance sampling for ML estimation of SCD models," Discussion Papers (ECON - Département des Sciences Economiques) 2007032, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:

Articles

  1. Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008. "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, vol. 34(3), pages 493-524, June. [Downloadable!] (restricted)

    Cited by:

    1. Teresa Leal Linares & Javier J. Pérez, 2009. "A temporal aggregation ARIMA model for forecasting and monitoring the public sector deficit," Hacienda Pública Española, IEF, vol. 190(3), pages 27-58, June. [Downloadable!]
    2. Helmut Luetkepohl & Fang Xu, 2009. "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    3. Teresa Leal & Javier J. Pérez & Mika Tujula & Jean-Pierre Vidal, 2007. "Fiscal forecasting - lessons from the literature and challenges," Working Paper Series 843, European Central Bank. [Downloadable!]
      Other versions:
    4. Luca Onorante & Diego J. Pedregal & Javier J. Pérez & Sara Signorini, 2008. "The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area," Working Paper Series 901, European Central Bank. [Downloadable!]
    5. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:

  2. Andrea Silvestrini & David Veredas, 2008. "Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey," Journal of Economic Surveys, Blackwell Publishing, vol. 22(3), pages 458-497, 07. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. David Veredas, 2006. "Macroeconomic surprises and short-term behaviour in bond futures," Empirical Economics, Springer, vol. 30(4), pages 843-866, January. [Downloadable!] (restricted)

    Cited by:

    1. Ielpo, Florian & Guégan, Dominique, 2006. "Further evidence on the impact of economic news on interest rates," MPRA Paper 3425, University Library of Munich, Germany, revised Jun 2007. [Downloadable!]
      Other versions:
    2. Laakkonen, Helinä & Lanne, Markku, 2008. "Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times," MPRA Paper 8296, University Library of Munich, Germany. [Downloadable!]
    3. Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany. [Downloadable!]
    4. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  4. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. 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. [Downloadable!] (restricted)

    Cited by:

    1. Chris M Strickland & Gael Martin & Catherine S Forbes, 2006. "Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models," Monash Econometrics and Business Statistics Working Papers 22/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    2. 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. [Downloadable!]
    3. Keith Freeland & Brendan McCabe & Gael Martin, 2004. "Testing for Dependence in Non-Gaussian Time Series Data," Econometric Society 2004 Australasian Meetings 313, Econometric Society. [Downloadable!]
      Other versions:
    4. Chris M. Strickland & Catherine S. Forbes & Gael M. Martin, 2003. "Bayesian Analysis of the Stochastic Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 14/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    5. 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. [Downloadable!]
      Other versions:
    6. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K., 2006. "Nonparametric density estimation for positive time series," CORE Discussion Papers 2006085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    7. Frank Gerhard & Nikolaus Hautsch, 2006. "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers 2006/05, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
      Other versions:
    8. 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. [Downloadable!] (restricted)
    9. Chew Lian Chua & G. C. Lim & Penelope Smith, 2008. "A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model," Melbourne Institute Working Paper Series wp2008n16, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    10. Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin, 2007. "An Assessment of Alternative State Space Models for Count Time Series," Monash Econometrics and Business Statistics Working Papers 4/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    11. Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    12. PREMINGER, Arie & HAFNER, Christian M., 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," CORE Discussion Papers 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    13. Rohit Deo & Mengchen Hsieh & Clifford Hurvich, 2005. "Tracing the Source of Long Memory in Volatility," Econometrics 0501005, EconWPA. [Downloadable!]
    14. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009. [Downloadable!]
    15. Willa Chen & Rohit Deo, 2005. "GMM Estimation for Long Memory Latent Variable Volatility and Duration Models," Econometrics 0501006, EconWPA. [Downloadable!]
    16. Dinghai Xu & John Knight & Tony S. Wirjanto, 2008. "Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"," Working Papers 08007, University of Waterloo, Department of Economics. [Downloadable!]
    17. Nikolaus Hautsch, 2005. "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers 2005/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    18. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," CORE Discussion Papers 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:

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This page was last updated on 2009-11-13.

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