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Citations for "Dynamics of Trade-by-Trade Price Movements: Decomposition and Models"

by Tina Hviid Rydberg & Neil Shephard

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  1. McCausland, William J., 2012. "The HESSIAN method: Highly efficient simulation smoothing, in a nutshell," Journal of Econometrics, Elsevier, Elsevier, vol. 168(2), pages 189-206.
  2. repec:wyi:wpaper:001961 is not listed on IDEAS
  3. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 06-04, Center of Finance and Econometrics, University of Konstanz.
  4. Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  5. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012. "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute 12-059/4, Tinbergen Institute.
  6. Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers, Aboa Centre for Economics 31, Aboa Centre for Economics.
  7. Winfried Pohlmeier & Roman Liesenfeld, 2003. "A Dynamic Integer Count Data Model for Financial Transaction Prices," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 03-03, Center of Finance and Econometrics, University of Konstanz.
  8. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(4), pages 397-417.
  9. Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 76, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(2), pages 561-578, April.
  11. Drew Creal & Siem Jan Koopman & Andr� Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers, Tinbergen Institute 08-108/4, Tinbergen Institute.
  12. repec:wyi:journl:002068 is not listed on IDEAS
  13. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1425, University of St. Gallen, School of Economics and Political Science.
  14. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute 08-011/4, Tinbergen Institute.
  15. Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers, Center for Economic and Financial Research (CEFIR) w0170, Center for Economic and Financial Research (CEFIR).
  16. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers, Center for Economic and Financial Research (CEFIR) w0136, Center for Economic and Financial Research (CEFIR).
  17. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012. "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute 12-059/4, Tinbergen Institute.
  18. Amilon, Henrik, 2003. "GARCH estimation and discrete stock prices: an application to low-priced Australian stocks," Economics Letters, Elsevier, Elsevier, vol. 81(2), pages 215-222, November.
  19. Ng, Eric C.Y., 2012. "Forecasting US recessions with various risk factors and dynamic probit models," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(1), pages 112-125.
  20. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Maximum Likelihood Estimation for Generalized Autoregressive Score Models," Tinbergen Institute Discussion Papers, Tinbergen Institute 14-029/III, Tinbergen Institute.
  21. Ito, Ryoko, 2013. "Modeling dynamic diurnal patterns in high frequency financial data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1315, Faculty of Economics, University of Cambridge.
  22. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
  23. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Society for Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 89-121, December.
  24. Axel Groß-Klußmann & Nikolaus Hautsch, 2011. "Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2011-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  25. Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
  26. Drew Creal & Siem Jan Koopman & Andr� Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers, Tinbergen Institute 08-108/4, Tinbergen Institute.
  27. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  28. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute 08-011/4, Tinbergen Institute.
  29. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Papers, arXiv.org cond-mat/0501261, arXiv.org.
  30. Ishida, I. & McAleer, M.J. & Oya, K., 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute EI 2011-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  31. Henri Nyberg, 2010. "Testing an autoregressive structure in binary time series models," Economics Bulletin, AccessEcon, vol. 30(2), pages 1460-1473.
  32. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006. "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, Springer, vol. 30(4), pages 795-825, January.
  33. Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(4), pages 2350-2364, December.
  34. Wing Lon Ng, 2010. "Dynamic Order Submission And Herding Behavior In Electronic Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 27-43.
  35. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  36. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers, School of Economics and Management, University of Aarhus 2007-14, School of Economics and Management, University of Aarhus.
  37. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(9), pages 3351-3363.
  38. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(9), pages 2247-2267, May.
  39. Jung, Robert & Kukuk, Martin & Liesenfeld, Roman, 2005. "Time Series of Count Data : Modelling and Estimation," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2005,08, Christian-Albrechts-University of Kiel, Department of Economics.
  40. Drescher, Daniel, 2005. "Alternative distributions for observation driven count series models," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2005,11, Christian-Albrechts-University of Kiel, Department of Economics.
  41. 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, CEJEME, CEJEME, vol. 4(2), pages 117-142, June.
  42. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, Elsevier, vol. 141(1), pages 250-282, November.