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Citations for "Semiparametric Duration Models"

by Drost, F.C. & Werker, B.J.M.

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  1. 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.
  2. Stanislav Anatolyev & Dmitry Shakin, 2007. "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 87-104.
  3. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
  4. Andre A. Monteiro, 2009. "The econometrics of randomly spaced financial data: a survey," Statistics and Econometrics Working Papers ws097924, Universidad Carlos III, Departamento de Estadística y Econometría.
  5. Fernandes, Marcelo & Medeiros, Marcelo C. & Veiga, Alvaro, 2013. "A (semi-)parametric functional coefficient autoregressive conditional duration model," Textos para discussão 343, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  6. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O. van, 2002. "The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity," Discussion Paper 2002-29, Tilburg University, Center for Economic Research.
  7. 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.
  8. 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.
  9. Spierdijk, L., 2002. "An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE," Discussion Paper 2002-30, Tilburg University, Center for Economic Research.
  10. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
  11. 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.
  12. 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.
  13. Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
  14. Yiu-Kuen Tse & Thomas Tao Yang, 2012. "Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach," Working Papers CoFie-02-2012, Sim Kee Boon Institute for Financial Economics.
  15. 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.
  16. DANIEL PREVE & Yiu-Kuen Tse, 2012. "Estimation Of Time Varying Adjusted Probability Of Informed Trading And Probability Of Symmetric Order-Flow Shock," Working Papers CoFie-05-2011, Sim Kee Boon Institute for Financial Economics.
  17. Fernandes, Marcelo, 2004. "Bounds for the probability distribution function of the linear ACD process," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 169-176, June.
  18. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
  19. Peter Malec & Melanie Schienle, 2012. "Nonparametric Kernel Density Estimation Near the Boundary," SFB 649 Discussion Papers SFB649DP2012-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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  21. 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.
  22. 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.
  23. Spierdijk, Laura, 2004. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 163-184, March.
  24. 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, 09.
  25. Peter Hall, 2007. "Comments on: Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(3), pages 448-449, December.
  26. 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.