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Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
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Testing the Conditional Mean Function of Autoregressive Conditional Duration Models (2006)Testing the Conditional Mean Function of …MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …Time and the Price Impact of a Trade (2000)Time and the Price Impact of …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models (1996)Consistency and Asymptotic No…All in the family Nesting symmetric and asymmetric GARCH models (1995)All in the family Nesting sym…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…Threshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…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…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Testing Against General Autor…The econometrics of ultra-high frequency data /The econometrics of ultra-hig…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Multivariate Simultaneous Generalized ARCH (1995)Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables (1978)Review of international tourism demand models (1997)New frontiers for arch models (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1994Threshold heteroskedastic models2,294 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
  • 1978Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables1,468 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 1995All in the family Nesting symmetric and asymmetric GARCH models723 cited
  • 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
  • 2000Time and the Price Impact of a Trade592 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 1993Threshold arch models and asymmetries in volatility

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492 cited
  • 1996Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models458 cited
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