Asymmetric ACD models: introducing price information in ACD models with a two state transition model
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- Florian Ielpo & Dominique Gúegan, 2009.
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- Dominique Guegan & Florian Ielpo, 2009. "Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00439813, HAL.
- BAUWENS, Luc & VEREDAS, David, 1999.
"The stochastic conditional duration model: a latent factor model for the analysis of financial durations,"
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1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Ielpo, Florian & Guégan, Dominique, 2006. "An econometric specification of monetary policy dark art," MPRA Paper 1004, University Library of Munich, Germany, revised 07 Oct 2006.
- GIOT, Pierre, 1999.
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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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More about this item
Keywords
duration; high frequency data; market microstucture;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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