Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
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- Nikolaus Hautsch & Vahidin Jeleskovic, 2008. "Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2008-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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"Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model,"
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Elsevier, vol. 32(12), pages 3978-4015, December.
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- Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," SFB 649 Discussion Papers SFB649DP2007-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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More about this item
Keywordsaugmented ACD models; semiparametric ACD models; news impact function; Lagrange multiplier tests;
- 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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-12-22 (All new papers)
- NEP-ECM-2006-12-22 (Econometrics)
- NEP-ETS-2006-12-22 (Econometric Time Series)
- NEP-MST-2006-12-22 (Market Microstructure)
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