Forecasting using high-frequency data: a comparison of asymmetric financial duration models
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References listed on IDEAS
- Luc Bauwens & Pierre Giot, 2003.
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Springer, vol. 28(4), pages 709-731, November.
- BAUWENS, Luc & GIOT, Pierre, 2003. "Asymmetric ACD models: Introducing price information in ACD models," CORE Discussion Papers RP 1670, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
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