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

  • BAUWENS, Luc
  • VEREDAS, David

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File URL: http://dx.doi.org/10.1016/S0304-4076(03)00201-X
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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers RP with number -1688.

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Handle: RePEc:cor:louvrp:-1688
Note: In : Journal of Econometrics, 119, 381-412, 2004
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  1. BAUWENS , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, 2000. "A comparison of financial duration models via density forecasts," CORE Discussion Papers 2000060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," NBER Working Papers 5816, National Bureau of Economic Research, Inc.
  3. J. Grammig & K. Maurer, 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.
  4. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-89, October.
  5. 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.
  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. 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.
  8. Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1988. "Hétérogénéité dans les modèles à représentation linéaire," CEPREMAP Working Papers (Couverture Orange) 8805, CEPREMAP.
  9. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
  10. 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.
  11. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February.
  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. 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 413-17, October.
  15. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Wiley Blackwell, vol. 61(2), pages 247-64, April.
  16. Gouriéroux, Christian & Jasiak, Joanna & Le Fol, Gaëlle, 1999. "Intra-day market activity," Economics Papers from University Paris Dauphine 123456789/5478, Paris Dauphine University.
  17. 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.
  18. Sandmann, Gleb & Koopman, Siem Jan, 1998. "Estimation of stochastic volatility models via Monte Carlo maximum likelihood," Journal of Econometrics, Elsevier, vol. 87(2), pages 271-301, September.
  19. Chen, Song Xi, 1999. "Beta kernel estimators for density functions," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 131-145, August.
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