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The ACD Model: Predictability of the Time Between Consecutive Trades
16 references·8 citing·35 second hop
The ACD Model: Predictability of the Time Between Consecutive Trades (2000)The ACD Model: Predictability of the Time…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutomatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Rank Correlation Methods (1992)Rank Correlation MethodsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Rank Correlation Methods. (1957)Rank Correlation Methods.Rank Correlation Methods. (1951)Rank Correlation Methods.The econometrics of ultra-high frequency data /The econometrics of ultra-hig…CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS (2018)CONDITIONAL DURATION MODELS F…Value at risk forecasts by extreme value models in a conditional duration framework (2013)Value at risk forecasts by ex…Testing the Conditional Mean Function of Autoregressive Conditional Duration Models (2006)Testing the Conditional Mean …Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature (2006)Autoregressive Conditional Du…Mixture Processes for Financial Intradaily Durations (2004)Mixture Processes for Financi…Modelling Intraday Trading Activity Using Box-Cox Acd Models (2001)Modelling Intraday Trading Ac…A Model for the Federal Funds Rate Target (2000)A Model for the Federal Funds…A Model for the Federal Funds Rate Target (1999)A Model for the Federal Funds…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)MONEY, INCOME, AND CAUSALITY (1972)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)On the Failure to Eliminate Hypotheses in a Conceptual Task (1960)Personal Religious Orientation and Prejudice. (1967)Increasing Returns and Long-Run Growth (1986)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Comparison of Values of Pearson's and Spearman's Correlation Coefficients on the Same Sets of Data (2011)Comparing the Pearson and Spearman correlation coefficients across distributions and sample sizes: A tutorial using simulations and empirical data. (2016)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1957Rank Correlation Methods.6,385 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1951Rank Correlation Methods.2,615 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2000Forecasting Economic Time Series1,768 cited
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  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1992Rank Correlation Methods1,132 cited
  • n.d.The econometrics of ultra-high frequency data /

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Cited by

  • 2004Mixture Processes for Financial Intradaily Durations53 cited
  • 2013Value at risk forecasts by extreme value models in a conditional duration framework39 cited
  • 2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature30 cited
  • 2018CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS28 cited
  • 2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models27 cited
  • 2001Modelling Intraday Trading Activity Using Box-Cox Acd Models24 cited
  • 1999A Model for the Federal Funds Rate Target23 cited
  • 2000A Model for the Federal Funds Rate Target21 cited