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Nonlinearity in High-Frequency Financial Data and Hierarchical Models

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References

2006Analysis of Financial Time Series2,382 cited
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
2001A nonlinear autoregressive conditional duration model with applications to financial transaction data319 cited
2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models254 cited
1999The Dynamics of Discrete Bid and Ask Quotes171 cited

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2010Threshold quantile autoregressive models54 cited
2005Testing for sign and amplitude asymmetries using threshold autoregressions31 cited
2013Optimal execution under jump models for uncertain price impact22 cited
2007An Encompassing Test of Real Interest Rate Equalization*14 cited
2012Fractional integration and the volatility of UK interest rates8 cited

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