IDEAS home Printed from https://ideas.repec.org/p/cor/louvrp/1534.html
   My bibliography  Save this paper

Modeling the interdependence of volatility and inter-transaction duration processes

Author

Listed:
  • GRAMMIG , Joachim
  • WELLNER, Marc

Abstract

No abstract is available for this item.

Suggested Citation

  • GRAMMIG , Joachim & WELLNER, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," LIDAM Reprints CORE 1534, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvrp:1534
    DOI: 10.1016/S0304-4076(01)00105-1
    Note: In : Journal of Econometrics, 106, 369-400, 2002
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1016/S0304-4076(01)00105-1
    Download Restriction: no

    File URL: https://libkey.io/10.1016/S0304-4076(01)00105-1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
    2. Kul B. Luintel & Yongdeng Xu, 2017. "Testing weak exogeneity in multiplicative error models," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1617-1630, October.
    3. Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2015. "Time-Deformation Modeling of Stock Returns Directed by Duration Processes," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 480-511, April.
    4. Stanislav Anatolyev & Dmitry Shakin, 2007. "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 87-104.
    5. Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
    6. Artur Sokolovsky & Luca Arnaboldi, 2020. "Machine Learning Classification of Price Extrema Based on Market Microstructure and Price Action Features. A Case Study of S&P500 E-mini Futures," Papers 2009.09993, arXiv.org, revised May 2021.
    7. Karaa, Rabaa & Slim, Skander & Hmaied, Dorra Mezzez, 2018. "Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange," Research in International Business and Finance, Elsevier, vol. 44(C), pages 88-99.
    8. Marcelo Fernandes & Marco Aurélio Dos Santos Rocha, 0. "Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(2), pages 219-242.
    9. Francisco Blasques & Vladim'ir Hol'y & Petra Tomanov'a, 2018. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Papers 1812.07318, arXiv.org, revised Apr 2020.
    10. Samuel Gingras & William J. McCausland, 2020. "A Flexible Stochastic Conditional Duration Model," Papers 2005.09166, arXiv.org.
    11. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    12. Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cor:louvrp:1534. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/coreebe.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alain GILLIS (email available below). General contact details of provider: https://edirc.repec.org/data/coreebe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.