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Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
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Forecasting Transaction Rates: The Autoregressive Conditional Duration Model (1994)Forecasting Transaction Rates: The Autore…Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading (2017)Econometric analysis of multi…Constructing Stationary Time Series Models Using Auxiliary Variables With Applications (2005)Constructing Stationary Time …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Econometrics of Financial Markets (2012)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Common risk factors in the returns on stocks and bonds (1993)Efficient estimation of integrated volatility functionals via multiscale jackknife (2018)High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model (2019)Major Issues in High-Frequency Financial Data Analysis: A Survey of Solutions (2025)
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  • 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading41 cited
  • 2005Constructing Stationary Time Series Models Using Auxiliary Variables With Applications37 cited

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