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

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  • Bauwens, Luc
  • Veredas, David

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  • 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.
    • Handle: RePEc:eee:econom:v:119:y:2004:i:2:p:381-412
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    1. Grammig, J. & Maurer, K., 1999. "Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model," SFB 373 Discussion Papers 1999,50, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November.
    3. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
    4. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
    5. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
    6. Marc Hallin & Thomas S. Ferguson & Christian Genest, 2000. "Kendall's tau for serial dependence," ULB Institutional Repository 2013/2093, ULB -- Universite Libre de Bruxelles.
    7. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
    8. 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.
    9. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(2), pages 247-264.
    10. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
    11. Chen, Song Xi, 1999. "Beta kernel estimators for density functions," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 131-145, August.
    12. Marc Hallin & Madan Lal Puri, 1988. "Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models," ULB Institutional Repository 2013/2013, ULB -- Universite Libre de Bruxelles.
    13. Ruiz, Esther, 1994. "Quasi-maximum likelihood estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 63(1), pages 289-306, July.
    14. GRAMMIG , Joachim & WELLNER, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," LIDAM Reprints CORE 1534, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1988. "Hétérogénéité dans les modèles à représentation linéaire," CEPREMAP Working Papers (Couverture Orange) 8805, CEPREMAP.
    16. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comments: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 413-417, October.
    17. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
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    19. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
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    21. Easley, David & O'Hara, Maureen, 1992. "Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
    22. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(1), pages 17-39, February.
    23. Mariano,Roberto & Schuermann,Til & Weeks,Melvyn J. (ed.), 2000. "Simulation-based Inference in Econometrics," Cambridge Books, Cambridge University Press, number 9780521591126.
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