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The stochastic conditional duration model: a latent factor model for the analysis of financial durations

Citations

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Cited by:

  1. Ng, Jason & Forbes, Catherine S. & Martin, Gael M. & McCabe, Brendan P.M., 2013. "Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 411-430.
  2. 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.
  3. Strickland, Chris M. & Martin, Gael M. & Forbes, Catherine S., 2008. "Parameterisation and efficient MCMC estimation of non-Gaussian state space models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2911-2930, February.
  4. 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.
  5. Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas, 2014. "Testing for Parameter Instability in Competing Modeling Frameworks," Tinbergen Institute Discussion Papers 14-010/IV/DSF71, Tinbergen Institute.
  6. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
  7. 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.
  8. David Veredas & Juan Rodriguez-Poo & Antoni Espasa, 2001. "On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach," Working Papers 2001-19, Center for Research in Economics and Statistics.
  9. Wei Wei & Denis Pelletier, 2015. "A Jump-Diffusion Model with Stochastic Volatility and Durations," CREATES Research Papers 2015-34, Department of Economics and Business Economics, Aarhus University.
  10. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024.
  11. 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.
  12. Antonio Cosma & Fausto Galli, 2006. "A Nonparametric ACD Model," LSF Research Working Paper Series 06-10, Luxembourg School of Finance, University of Luxembourg.
  13. Hautsch, Nikolaus, 2008. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
  14. 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.
  15. Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017. "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
  16. Li, Yong & Liu, Xiao-Bin & Yu, Jun, 2015. "A Bayesian chi-squared test for hypothesis testing," Journal of Econometrics, Elsevier, vol. 189(1), pages 54-69.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Taras Bodnar & Nikolaus Hautsch, 2012. "Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2012-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  22. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
  23. 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.
  24. 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).
  25. Anthony D. Hall & Nikolaus Hautsch, 2008. "Order aggressiveness and order book dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 133-165, Springer.
  26. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, September.
  27. 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).
  28. Katarzyna Bień-Barkowska, 2011. "Multistate asymmetric ACD model: an application to order dynamics in the EUR/PLN spot market," NBP Working Papers 104, Narodowy Bank Polski.
  29. 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.
  30. 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.
  31. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2016. "A Multiscale Stochastic Conditional Duration Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 1-28, December.
  32. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
  33. Tomoki Toyabe & Teruo Nakatsuma, 2022. "Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information," JRFM, MDPI, vol. 15(10), pages 1-25, October.
  34. 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.
  35. Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe, 2019. "Forecasting Observables with Particle Filters: Any Filter Will Do!," Monash Econometrics and Business Statistics Working Papers 22/19, Monash University, Department of Econometrics and Business Statistics.
  36. 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.
  37. Abraham, B. & Balakrishna, N., 2012. "Product autoregressive models for non-negative variables," Statistics & Probability Letters, Elsevier, vol. 82(8), pages 1530-1537.
  38. 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.
  39. Fok, Dennis & Paap, Richard & Franses, Philip Hans, 2012. "Modeling dynamic effects of promotion on interpurchase times," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3055-3069.
  40. 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.
  41. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
  42. Bortoluzzo, Adriana B. & Morettin, Pedro A. & Toloi, Clelia M. C., 2008. "Time-Varying Autoregressive Conditional Duration Model," Insper Working Papers wpe_174, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  43. 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.
  44. Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010. "Nonparametric density estimation for positive time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 245-261, February.
  45. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
  46. Pierre Perron & Eduardo Zorita & Wen Cao & Clifford Hurvich & Philippe Soulier, 2017. "Drift in Transaction-Level Asset Price Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 769-790, September.
  47. 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).
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. McCausland, William J., 2012. "The HESSIAN method: Highly efficient simulation smoothing, in a nutshell," Journal of Econometrics, Elsevier, vol. 168(2), pages 189-206.
  53. 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.
  54. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014. "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers 0186, Dipartimento di Scienze Economiche "Marco Fanno".
  55. Katarzyna Bień-Barkowska, 2014. "Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 93-117, January.
  56. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
  57. 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.
  58. 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.
  59. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  60. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
  61. Nolte, Ingmar & Voev, Valeri, 2007. "Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market," CoFE Discussion Papers 07/02, University of Konstanz, Center of Finance and Econometrics (CoFE).
  62. 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.
  63. Bauwens, L. & Galli, F., 2009. "Efficient importance sampling for ML estimation of SCD models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1974-1992, April.
  64. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
  65. Henryk Gurgul & Robert Syrek, 2016. "The logarithmic ACD model: The microstructure of the German and Polish stock markets," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(1), pages 77-92.
  66. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
  67. Roman Huptas, 2009. "Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 9, pages 128-138.
  68. Galli, Fausto, 2014. "Stochastic conditonal range, a latent variable model for financial volatility," MPRA Paper 54030, University Library of Munich, Germany.
  69. 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.
  70. 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).
  71. 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.
  72. PREMINGER, Arie & HAFNER, Christian, 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," LIDAM Discussion Papers CORE 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  73. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
  74. Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
  75. Rohit Deo & Mengchen Hsieh & Clifford Hurvich, 2005. "Tracing the Source of Long Memory in Volatility," Econometrics 0501005, University Library of Munich, Germany.
  76. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008. "Scaling in the distribution of intertrade durations of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.
  77. Carlo Campajola & Domenico Di Gangi & Fabrizio Lillo & Daniele Tantari, 2020. "Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model," Papers 2007.15545, arXiv.org, revised Aug 2021.
  78. Siem Jan Koopman & André Lucas & Marcel Scharth, 2016. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, vol. 98(1), pages 97-110, March.
  79. Brownlees Christian T. & Vannucci Marina, 2013. "A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 21-46, February.
  80. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
  81. Rutger Jan Lange, 2020. "Bellman filtering for state-space models," Tinbergen Institute Discussion Papers 20-052/III, Tinbergen Institute, revised 19 May 2021.
  82. Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto, 2013. "Bayesian Inference of Asymmetric Stochastic Conditional Duration Models," Working Paper series 28_13, Rimini Centre for Economic Analysis.
  83. 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.
  84. 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.
  85. Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto, 2019. "Threshold Stochastic Conditional Duration Model for Financial Transaction Data," JRFM, MDPI, vol. 12(2), pages 1-21, May.
  86. 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.
  87. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013. "Bayesian Inference of Multiscale Stochastic Conditional Duration Models," Working Paper series 63_13, Rimini Centre for Economic Analysis.
  88. Willa Chen & Rohit Deo, 2005. "GMM Estimation for Long Memory Latent Variable Volatility and Duration Models," Econometrics 0501006, University Library of Munich, Germany.
  89. Patrick Leung & Catherine S. Forbes & Gael M. Martin & Brendan McCabe, 2016. "Data-driven particle Filters for particle Markov Chain Monte Carlo," Monash Econometrics and Business Statistics Working Papers 17/16, Monash University, Department of Econometrics and Business Statistics.
  90. 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.
  91. 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.
  92. PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," LIDAM Discussion Papers CORE 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  93. 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.
  94. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
  95. 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.
  96. 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.
  97. repec:bgu:wpaper:0603 is not listed on IDEAS
  98. 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).
  99. 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.
  100. Aue, Alexander & Horváth, Lajos & Hurvich, Clifford & Soulier, Philippe, 2014. "Limit Laws In Transaction-Level Asset Price Models," Econometric Theory, Cambridge University Press, vol. 30(3), pages 536-579, June.
  101. 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.
  102. Rodrigues, Bruno Dore & Souza, Reinaldo Castro & Stevenson, Maxwell J., 2012. "An analysis of intraday market behaviour before takeover announcements," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 23-32.
  103. 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.
  104. Siem Jan Koopman & André Lucas & Marcel Scharth, 2015. "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 114-127, January.
  105. Samuel Gingras & William J. McCausland, 2020. "A Flexible Stochastic Conditional Duration Model," Papers 2005.09166, arXiv.org.
  106. Feigin, Paul D. & Gould, Phillip & Martin, Gael M. & Snyder, Ralph D., 2008. "Feasible parameter regions for alternative discrete state space models," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2963-2970, December.
  107. Adriana Bortoluzzo & Pedro Morettin & Clelia Toloi, 2010. "Time-varying autoregressive conditional duration model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(5), pages 847-864.
  108. Perera, Indeewara & Koul, Hira L., 2017. "Fitting a two phase threshold multiplicative error model," Journal of Econometrics, Elsevier, vol. 197(2), pages 348-367.
  109. 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.
  110. Isuru Ratnayake & V. A. Samaranayake, 2022. "Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model," Papers 2202.03351, arXiv.org, revised Mar 2022.
  111. 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.
  112. 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.
  113. 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.
  114. 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.
  115. 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.
  116. Galli, Fausto, 2014. "Stochastic conditonal range, a latent variable model for financial volatility," MPRA Paper 54841, University Library of Munich, Germany.
  117. 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.
  118. Katarzyna Bien-Barkowska, 2011. "Distribution Choice for the Asymmetric ACD Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 55-72.
  119. Zhou, Weijie & Wang, Zhengxin & Guo, Haiming, 2016. "Modelling volatility recurrence intervals in the Chinese commodity futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 514-525.
  120. 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.
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