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Testing the Conditional Mean Function of Autoregressive Conditional Duration Models · Study

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PreprintTesting the Conditional Mean Function of Autoregressive Conditional Duration Models

Nikolaus Hautsch2006

OA

Preprintgreen2006

Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

Nikolaus Hautsch

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

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993Measuring and Testing the Impact of News on Volatility 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1988A Theory of Intraday Patterns: Volume and Price Variability 1994Threshold heteroskedastic models 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 1987Constraints on short-selling and asset price adjustment to private information 1978Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

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2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literaturepreprint · 28 shared references 2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATUREarticle · 20 shared references 2010Analysis of High-Frequency Datachapter · 12 shared references 2009Modelling Financial High Frequency Data Using Point Processeschapter · 11 shared references 2004Nonparametric specification tests for conditional duration modelsarticle · 11 shared references 2003Trades and Quotes: A Bivariate Point Processarticle · 10 shared references

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Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.951399

openalex_workW1577294185

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