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Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration

  • Wei Sun
  • Svetlozar Rachev
  • Frank Fabozzi

    ()

  • Petko Kalev

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s10436-007-0078-y
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Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 2 (March)
Pages: 217-241

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Handle: RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=112370

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  1. BAUWENS, Luc & HAUTSCH, Nikolaus, . "Modelling financial high frequency data using point processes," CORE Discussion Papers RP -2123, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
  3. 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.
  4. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
  5. S. Davies & P. Hall, 1999. "Fractal analysis of surface roughness by using spatial data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 3-37.
  6. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November.
  7. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(2), pages 159-188.
  8. 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.
  9. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
  10. Manganelli, Simone, 2002. "Duration, volume and volatility impact of trades," Working Paper Series 0125, European Central Bank.
  11. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  12. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
  13. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March.
  14. Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," NBER Working Papers 5816, National Bureau of Economic Research, Inc.
  15. Joachim Grammig & Kai-Oliver Maurer, 2000. "Non-monotonic hazard functions and the autoregressive conditional duration model," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 16-38.
  16. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  17. Ghysels Eric & Jasiak Joanna, 1998. "GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(4), pages 1-19, January.
  18. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.
  19. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420.
  20. Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997. "Stochastic Volatility Duration Models," Working Papers 97-46, Centre de Recherche en Economie et Statistique.
  21. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
  22. Sun, Wei & Rachev, Svetlozar & Fabozzi, Frank J., 2007. "Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns," Journal of Economics and Business, Elsevier, vol. 59(6), pages 575-595.
  23. Samorodnitsky, Gennady, 1994. "Possible sample paths of self-similar [alpha]-stable processes," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 233-237, February.
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