SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Persistence in Intertrade Durations · Study

PreprintShelves

PreprintPersistence in Intertrade Durations

Joann Jasiak1999

OA

Preprintgreen1999

Persistence in Intertrade Durations

127 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 127 citations exist upstream.

References

1996Impulse response analysis in nonlinear multivariate models 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1993A long memory property of stock market returns and a new model 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1986Modelling the persistence of conditional variances 1996Long memory processes and fractional integration in econometrics 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Cited by

2003Trades and Quotes: A Bivariate Point Process 2001Memory and infrequent breaks 2004Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 2000The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks 2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returnsreport · 11 shared references 2011The Long Range Dependence Paradigm for Macroeconomics and Financepreprint · 11 shared references 199611 Nonlinear time series, complexity theory, and financechapter · 11 shared references 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returnsarticle · 10 shared references 2009Fractional Integration and Cointegration: An Overview and an Empirical Applicationchapter · 10 shared references 1997Another look at long memory in common stock returnsarticle · 9 shared references

Details

Year1999

Typepreprint

Published1999-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations127

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.162008

openalex_workW1556377938

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2010

The Birnbaum–Saunders autoregressive conditional duration model

2009Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange

2013A Markov-switching multifractal inter-trade duration model, with application to US equities