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On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach
16 references·1 citing·47 second hopsampled
On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach (2002)On the (intradaily) seasonality and dynam…The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2003)The stochastic conditional du…A comparison of financial duration models via density forecasts (2003)A comparison of financial dur…A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)A nonlinear autoregressive co…Non‐monotonic hazard functions and the autoregressive conditional duration model (2000)Non‐monotonic hazard function…The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior (1998)The Effects of Macroeconomic …Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model (1997)Forecasting the frequency of …5 Stochastic volatility (1996)5 Stochastic volatilityTrading Patterns and Prices in the Interbank Foreign Exchange Market (1993)Trading Patterns and Prices i…Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The econometrics of ultra-high frequency data /The econometrics of ultra-hig…Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature (2006)Autoregressive Conditional Du…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Turbulent cascades in foreign exchange markets (1996)High frequency data in financial markets: Issues and applications (1997)A test for volatility spillover with application to exchange rates (2001)A Theory of Intraday Patterns: Volume and Price Variability (1988)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Bid—ask spreads and volatility in the foreign exchange market (1994)The incremental volatility information in one million foreign exchange quotations (1997)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Stock returns and the weekend effect (1980)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Time and the Price Impact of a Trade (2000)New frontiers for arch models (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Asymmetric volatility transmission in international stock markets (1995)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)The arbitrage theory of capital asset pricing (1976)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Separating microstructure noise from volatility (2005)Parametric and Nonparametric Volatility Measurement (2010)The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
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References

  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 19965 Stochastic volatility1,189 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 1993Trading Patterns and Prices in the Interbank Foreign Exchange Market365 cited
  • 2001A nonlinear autoregressive conditional duration model with applications to financial transaction data319 cited
  • 1998The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior302 cited
  • 2003The stochastic conditional duration model: a latent variable model for the analysis of financial durations246 cited
  • 2000Non‐monotonic hazard functions and the autoregressive conditional duration model

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230 cited
  • 1997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model224 cited
  • 2003A comparison of financial duration models via density forecasts212 cited
  • Cited by

    • 2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature30 cited