Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
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References listed on IDEAS
- Bauwens, Luc & Veredas, David, 2004.
"The stochastic conditional duration model: a latent variable model for the analysis of financial durations,"
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- BAUWENS, Luc & VEREDAS, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," CORE Discussion Papers RP 1688, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- 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, CEJEME, vol. 6(4), pages 237-273, December.
- 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, CEJEME, vol. 8(1), pages 1-20, March.
More about this item
Keywordsfinancial UHF data; intraday seasonality; diurnal pattern; cubic splines; kernel estimation.;
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