Discretized Time and Conditional Duration Modelling for Stock Transaction Data
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Other versions of this item:
- Kurt Brannas & Ola Simonsen, 2007. "Discretized time and conditional duration modelling for stock transaction data," Applied Financial Economics, Taylor & Francis Journals, vol. 17(8), pages 647-658.
References listed on IDEAS
- 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.
- Lee, Lung-Fei, 1997.
"Simulated maximum likelihood estimation of dynamic discrete choice statistical models some Monte Carlo results,"
Journal of Econometrics,
Elsevier, vol. 82(1), pages 1-35.
- Lee, L.F., 1994. "Simulated Maximum Likelihood Estimation of Dynamic Discrete Choice Statistical Models--Some Monte Carlo Results," Papers 94-06, Michigan - Center for Research on Economic & Social Theory.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kurt Brannas & A. M. M. Shahiduzzaman Quoreshi, 2010.
"Integer-valued moving average modelling of the number of transactions in stocks,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 20(18), pages 1429-1440.
- Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004. "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," Umeå Economic Studies 637, Umeå University, Department of Economics.
- Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," Umeå Economic Studies 657, Umeå University, Department of Economics.
More about this item
KeywordsGrouped data; Maximum likelihood; EM-algorithm; Estimation; Finance; News;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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