An empirical model for durations in stocks
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- BAUWENS, Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, .
"A comparison of financial duration models via density forecasts,"
CORE Discussion Papers RP
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- Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2004. "A comparison of financial duration models via density forecast," ULB Institutional Repository 2013/136218, ULB -- Universite Libre de Bruxelles.
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- BAUWENS, Luc & GALLi, Fausto & GIOT, Pierre, .
"The moments of Log-ACD models,"
CORE Discussion Papers RP
-2023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002. "Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News," Discussion Paper 2002-69, Tilburg University, Center for Economic Research.
- 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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"Trades and Quotes: A Bivariate Point Process,"
University of California at San Diego, Economics Working Paper Series
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- Rombouts, Jeroen V. K. & Bauwens, Luc, 2004.
2004,33, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- Serge DAROLLES & Christian GOURIÉROUX & Gaëlle LE FOL, 2000. "Intraday Transaction Price Dynamics," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 207-238.
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