Time-Varying Autoregressive Conditional Duration Model
No abstract is available for this item.
|Date of creation:||Oct 2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.insper.edu.br/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Theory,"
Econometric Society, vol. 52(3), pages 681-700, May.
- Lee, Sang-Won & Hansen, Bruce E., 1994. "Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 10(01), pages 29-52, March.
- Luc Bauwens & David Veredas, 2004.
"The stochastic conditional duration model: a latent factor model for the analysis of financial durations,"
ULB Institutional Repository
2013/136234, ULB -- Universite Libre de Bruxelles.
- BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006.
"Bayesian analysis of the stochastic conditional duration model,"
Computational Statistics & Data Analysis,
Elsevier, vol. 50(9), pages 2247-2267, May.
- Chris M. Strickland & Catherine S. Forbes & Gael M. Martin, 2003. "Bayesian Analysis of the Stochastic Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 14/03, Monash University, Department of Econometrics and Business Statistics.
- Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999.
"Intra-day market activity,"
Journal of Financial Markets,
Elsevier, vol. 2(3), pages 193-226, August.
- Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
- McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June.
- Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
- Andrew W. Lo & A. Craig MacKinlay, 1991.
"An Econometric Analysis of Nonsynchronous Trading,"
NBER Working Papers
2960, National Bureau of Economic Research, Inc.
- Andrew W. Lo & Craig A. MacKinlay, . "An Econometric Analysis of Nonsyschronous-Trading," Rodney L. White Center for Financial Research Working Papers 19-89, Wharton School Rodney L. White Center for Financial Research.
When requesting a correction, please mention this item's handle: RePEc:ibm:ibmecp:wpe_174. 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: (Naercio Menezes)
If references are entirely missing, you can add them using this form.