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Persistence in Intertrade Durations

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References

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1992

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Stationarity of Garch processes and of some nonnegative time series

567 cited

1985An Investigation of Transactions Data for NYSE Stocks534 cited

Cited by

2003Trades and Quotes: A Bivariate Point Process116 cited
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2000The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks91 cited
2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks88 cited
2010The Birnbaum–Saunders autoregressive conditional duration model82 cited
2009Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange73 cited
2013A Markov-switching multifractal inter-trade duration model, with application to US equities51 cited
2002Volatility estimation on the basis of price intensities50 cited
2010Long memory in intertrade durations, counts and realized volatility of NYSE stocks48 cited
2002Modeling Sequences of Long Memory Non-Negative Covariance Stationary Random Variables38 cited
2009CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY35 cited
2008Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models33 cited
2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature30 cited
2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models27 cited