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Modelling Intraday Trading Activity Using Box-Cox Acd Models
16 references·0 citing·36 second hop
Modelling Intraday Trading Activity Using Box-Cox Acd Models (2001)Modelling Intraday Trading Activity Using…Non‐monotonic hazard functions and the autoregressive conditional duration model (2000)Non‐monotonic hazard function…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Estimating the components of the bid/ask spread (1988)Estimating the components of …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…A Treatise on Money (1971)A Treatise on MoneyThe Cost of Transacting (1968)The Cost of TransactingThe econometrics of ultra-high frequency data /The econometrics of ultra-hig…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Disclosure, Liquidity, and the Cost of Capital (1991)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Asset pricing and the bid-ask spread (1986)Market microstructure: A survey (2000)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)A Theory of Intraday Patterns: Volume and Price Variability (1988)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)The use of technical analysis in the foreign exchange market (1992)Facts and Fantasies about Commodity Futures (2006)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1968The Cost of Transacting1,909 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 1971A Treatise on Money1,728 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited

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2000
Non‐monotonic hazard functions and the autoregressive conditional duration model
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