Intraday Transaction Price Dynamics
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Other versions of this item:
- Serge Darolles & Christian Gouriéroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annals of Economics and Statistics, GENES, issue 60, pages 207-238.
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Cited by:
- Antonio A. F. Santos, 2021. "Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 455-479, February.
- Edson Kambeu & Olipha Mpofu & Drayton Muchochoma, 2017. "Price Discovery and Volatility:A theoretical Approach," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 6(2), pages 37-43, April.
- Tina Hviid Rydberg & Neil Shephard, 2003.
"Dynamics of Trade-by-Trade Price Movements: Decomposition and Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 2-25.
- Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," Economics Papers 2002-W1, Economics Group, Nuffield College, University of Oxford.
- Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," OFRC Working Papers Series 2002fe04, Oxford Financial Research Centre.
- Hautsch, Nikolaus & Pohlmeier, Winfried, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Papers 01/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
- Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," Umeå Economic Studies 657, Umeå University, Department of Economics.
- Nikolaus Hautsch, 1999.
"Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions,"
Finance
9904002, University Library of Munich, Germany.
- Hautsch, Nikolaus, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," CoFE Discussion Papers 99/03, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March.
- GIOT, Pierre, 1999.
"Time transformations, intraday data and volatility models,"
LIDAM Discussion Papers CORE
1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre, 2001. "Time transformations, intraday data, and volatility models," LIDAM Reprints CORE 1500, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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Keywords
High Frequency Data; Markov Chain; Nonlinear Canonical Analysis; Durations; Données haute fréquence; Chaine de Markov; Analyse canonique non linéaire; Durées;All these keywords.
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