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Nonlinearity in High-Frequency Financial Data and Hierarchical Models

43 citations0/0 files storedStudies in Nonlinear Dynamics and Econometrics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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2006Analysis of Financial Time Series 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2001A nonlinear autoregressive conditional duration model with applications to financial transaction data 2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models 1999The Dynamics of Discrete Bid and Ask Quotes

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2010Threshold quantile autoregressive models 2005Testing for sign and amplitude asymmetries using threshold autoregressions 2013Optimal execution under jump models for uncertain price impact 2007An Encompassing Test of Real Interest Rate Equalization*2012Fractional integration and the volatility of UK interest rates

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