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A family of autoregressive conditional duration models applied to financial data
14 references·5 citing·39 second hop
A family of autoregressive conditional duration models applied to financial data (2014)A family of autoregressive conditional du…Capability indices for Birnbaum–Saunders processes applied to electronic and food industries (2014)Capability indices for Birnba…The Birnbaum–Saunders autoregressive conditional duration model (2010)The Birnbaum–Saunders autoreg…Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks (2008)Finite sample properties of t…AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE (2008)AUTOREGRESSIVE CONDITIONAL DU…Acceptance Sampling Plans from Truncated Life Tests Based on the Generalized Birnbaum–Saunders Distribution (2007)Acceptance Sampling Plans fro…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…A family of autoregressive conditional duration models (2004)A family of autoregressive co…A comparison of financial duration models via density forecasts (2003)A comparison of financial dur…Time transformations, intraday data, and volatility models (2000)Time transformations, intrada…The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks (2000)The Logarithmic ACD Model: An…Non‐monotonic hazard functions and the autoregressive conditional duration model (2000)Non‐monotonic hazard function…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 econometrics of ultra-high frequency data /The econometrics of ultra-hig…CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS (2018)CONDITIONAL DURATION MODELS F…Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data (2017)Birnbaum–Saunders autoregress…Optimization of Contribution Margins in Food Services by Modeling Independent Component Demand (2015)Optimization of Contribution …Monitoring Environmental Risk by a Methodology Based on Control Charts (2015)Monitoring Environmental Risk…Exploring the Potential Use of the Birnbaum-Saunders Distribution in Inventory Management (2015)Exploring the Potential Use o…Stationarity and Persistence in the GARCH(1,1) Model (1990)All in the family Nesting symmetric and asymmetric GARCH models (1995)ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (2008)Modelling Financial High Frequency Data Using Point Processes (2009)Quality Control and Industrial Statistics. (1967)A group acceptance sampling plan for truncated life test having Weibull distribution (2009)Acceptance Sampling Plans from Truncated Life Tests Based on the Birnbaum–Saunders Distribution for Percentiles (2009)Time truncated acceptance sampling plans for generalized exponential distribution (2010)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)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 test for independence based on the correlation dimension (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Comparing density forecast models (2007)A Theory of Intraday Patterns: Volume and Price Variability (1988)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)Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange (2009)The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016)The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2003)The application of continuous-time random walks in finance and economics (2005)
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References

  • 2006Analysis of Financial Time Series2,348 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2007Acceptance Sampling Plans from Truncated Life Tests Based on the Generalized Birnbaum–Saunders Distribution281 cited
  • 2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks266 cited
  • 2000Non‐monotonic hazard functions and the autoregressive conditional duration model230 cited
  • 2003A comparison of financial duration models via density forecasts212 cited
  • 2004A family of autoregressive conditional duration models188 cited
  • 2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE173 cited
  • 2014Capability indices for Birnbaum–Saunders processes applied to electronic and food industries104 cited
  • 2000Time transformations, intraday data, and volatility models88 cited
  • 2010The Birnbaum–Saunders autoregressive conditional duration model82 cited
  • 2008Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks64 cited

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Cited by

  • 2017Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data56 cited
  • 2015Exploring the Potential Use of the Birnbaum-Saunders Distribution in Inventory Management35 cited
  • 2018CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS28 cited
  • 2015Optimization of Contribution Margins in Food Services by Modeling Independent Component Demand27 cited
  • 2015Monitoring Environmental Risk by a Methodology Based on Control Charts13 cited