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Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
16 references·4 citing·37 second hop
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 2007Modelling Financial Time Series1,415 cited
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  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

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931 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
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    • 2013A Markov-switching multifractal inter-trade duration model, with application to US equities51 cited
    • 2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures49 cited
    • 2009A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics36 cited
    • 2012Modelling and forecasting liquidity supply using semiparametric factor dynamics35 cited