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Estimating Continuous-Time Processes Subject to Time Deformation
8 references·16 citing·37 second hop
Estimating Continuous-Time Processes Subject to Time Deformation (1988)Estimating Continuous-Time Processes Subj…Trends and Cycles in Macroeconomic Time Series (1985)Trends and Cycles in Macroeco…Are Economic Time Series Asymmetric over the Business Cycle? (1984)Are Economic Time Series Asym…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867-1975 (1982)Monetary Trends in the United…Monetary Trends in the United States and the United Kingdom (1982)Monetary Trends in the United…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Measuring Business Cycles. (1947)Measuring Business Cycles.Measuring Business Cycles (1947)Measuring Business CyclesImpact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (2005)Impact of jumps on returns an…Multifractality in Asset Returns: Theory and Evidence (2002)Multifractality in Asset Retu…FX Trading and Exchange Rate Dynamics (2002)FX Trading and Exchange Rate …Price fluctuations, market activity and trading volume (2001)Price fluctuations, market ac…Volatility and information flows in emerging equity market (2000)Volatility and information fl…Scaling and correlation in financial time series (2000)Scaling and correlation in fi…Heteroscedasticity in stock returns data revisited: volume versus GARCH effects (2000)Heteroscedasticity in stock r…Economic fluctuations and anomalous diffusion (2000)Economic fluctuations and ano…Intra-day market activity (1999)Intra-day market activityAggregation and model construction for volatility models (1998)Aggregation and model constru…Risk and Turnover in the Foreign Exchange Market (1996)Risk and Turnover in the Fore…22 Modeling market microstructure time series (1996)22 Modeling market microstruc…Fractals and Intrinsic Time - a Challenge to Econometricians (1995)Fractals and Intrinsic Time -…Conditional Heteroskedasticity and Global Stock Return Distributions (1994)Conditional Heteroskedasticit…The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks (1993)The sources of GARCH: empiric…Intra‐day futures price volatility: Information effects and variance persistence (1993)Intra‐day futures price volat…The Variation of Certain Speculative Prices (1963)A long memory property of stock market returns and a new model (1993)The Econometrics of Financial Markets (1997)Quantifying stock-price response to demand fluctuations (2002)Common scaling patterns in intertrade times of U. S. stocks (2004)Role of activity in human dynamics (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multifractal properties of price fluctuations of stocks and commodities (2003)Multi-scaling in finance (2007)Multiscale characteristics of the emerging global cryptocurrency market (2020)The General Theory of Employment (1937)Short-run equilibrium dynamics of unemployment vacancies, and real wages (1985)Rational-expectations econometric analysis of changes in regime (1988)Detrending and business cycle facts (1998)Time Series Analysis: Forecasting and Control (1977)Sources of Business Cycle Fluctuations (1988)Variable Trends in Economic Time Series (1988)Common Stochastic Trends in a System of Exchange Rates (1989)Econometric Analysis of Cross Section and Panel Data (2001)The Estimation of Prewar Gross National Product: Methodology and New Evidence (1989)Modeling the demand for narrow money in the United Kingdom and the United States (1991)The Gold Standard as a “Good Housekeeping Seal of Approval” (1996)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)How Regions React to Recessions: Resilience and the Role of Economic Structure (2016)Bond Risk Premiums with Machine Learning (2020)Understanding business cycles (1977)Dissecting the cycle: a methodological investigation (2002)Can News About the Future Drive the Business Cycle? (2006)Liquidity, loanable funds, and real activity (1992)Price-level determinacy without control of a monetary aggregate (1995)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1947Measuring Business Cycles1,481 cited
  • 1984Are Economic Time Series Asymmetric over the Business Cycle?929 cited
  • 1982Monetary Trends in the United States and the United Kingdom701 cited
  • 1985Trends and Cycles in Macroeconomic Time Series688 cited
  • 1947Measuring Business Cycles.410 cited
  • 1982Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867-1975373 cited

Cited by

  • 2002Multifractality in Asset Returns: Theory and Evidence384 cited
  • 2000Economic fluctuations and anomalous diffusion265 cited
  • 1995Fractals and Intrinsic Time - a Challenge to Econometricians258 cited
  • 2002FX Trading and Exchange Rate Dynamics177 cited
  • 1999Intra-day market activity145 cited
  • 2000Scaling and correlation in financial time series143 cited
  • 2001Price fluctuations, market activity and trading volume117 cited

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1996
22 Modeling market microstructure time series
107 cited
  • 1996Risk and Turnover in the Foreign Exchange Market97 cited
  • 2005Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes92 cited
  • 2000Heteroscedasticity in stock returns data revisited: volume versus GARCH effects76 cited
  • 2000Volatility and information flows in emerging equity market71 cited
  • 1993Intra‐day futures price volatility: Information effects and variance persistence52 cited
  • 1993The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks51 cited
  • 1994Conditional Heteroskedasticity and Global Stock Return Distributions39 cited
  • 1998Aggregation and model construction for volatility models31 cited