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Semiparametric Duration Models

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References

1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
n.d.The econometrics of ultra-high frequency data /784 cited
2001A nonlinear autoregressive conditional duration model with applications to financial transaction data319 cited
2003Stochastic volatility duration models144 cited
1993Adaptive Estimation in ARCH Models141 cited
1997Efficient estimation in semiparametric GARCH models132 cited

Cited by

2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes66 cited
2006Regime-switching Pareto distributions for ACD models37 cited
2012Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach37 cited
2009Nonparametric density estimation for positive time series36 cited
2003An empirical analysis of the role of the trading intensity in information dissemination on the NYSE32 cited
2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature30 cited
2018CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS28 cited

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