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Some Econometric Recipes for High-Frequency Data Cooking
16 references·3 citing·34 second hop
Some Econometric Recipes for High-Frequency Data Cooking (2000)Some Econometric Recipes for High-Frequen…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Stealth trading and volatility (1993)Stealth trading and volatilityHow Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data (1984)A Method for Minimizing the I…Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Measurement of Linear Depende…Econometric Methods for the Duration of Unemployment (1979)Econometric Methods for the D…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models (2008)Time-Varying Mixing Weights i…Analysis of High-Frequency Financial Data with S-PLUS (2003)Analysis of High-Frequency Fi…On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach (2002)On the (intradaily) seasonali…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Job Matching and the Theory of Turnover (1979)Labor Supply: A Review of Alternative Approaches (1999)Trajectories of Boys' Physical Aggression, Opposition, and Hyperactivity on the Path to Physically Violent and Nonviolent Juvenile Delinquency (1999)Selection on Observed and Unobserved Variables: Assessing the Effectiveness of Catholic Schools (2005)MONEY, INCOME, AND CAUSALITY (1972)Comparing alternative tests of causality in temporal systems (1983)Consciousness and Complexity (1998)Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Expected stock returns and volatility (1987)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does Algorithmic Trading Improve Liquidity? (2011)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Chapter 22 Panel data (1984)Unemployment Insurance and Unemployment Spells (1990)Noise Trader Risk in Financial Markets (1990)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1984A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data2,790 cited
  • 1982Measurement of Linear Dependence and Feedback Between Multiple Time Series2,056 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1979Econometric Methods for the Duration of Unemployment1,169 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited

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1997
Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
960 cited
  • 1993Stealth trading and volatility948 cited
  • Cited by

    • 2008Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models33 cited
    • 2002On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach32 cited
    • 2003Analysis of High-Frequency Financial Data with S-PLUS22 cited