Modelling the impact of open volume on inter-trade autoregressive durations
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Volume (Year): LX (2002)
Issue (Month): 3-4 ()
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- BAUWENS, Luc & GIOT, Pierre, .
"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).
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De Gruyter, vol. 2(4), pages 1-19, January.
- Gallo, G.M. & Pacini, B., 1998. "Early News Is Good News. The Effects of Market Opening on Market Volatility," Economics Working Papers eco98/3, European University Institute.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
- Robert F. Engle, 1996.
"The Econometrics of Ultra-High Frequency Data,"
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5816, National Bureau of Economic Research, Inc.
- Giampiero Gallo & Barbara Pacini, 2000. "The effects of trading activity on market volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 163-175.
- 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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