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CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS
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CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS (2018)CONDITIONAL DURATION MODELS FOR HIGH‐FREQ…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Analysis of Financial Time Series (2010)Analysis of Financial Time Se…Stochastic Volatility (2005)Stochastic VolatilityA Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2003)The stochastic conditional du…New frontiers for arch models (2002)New frontiers for arch modelsIs Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)A nonlinear autoregressive co…The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks (2000)The Logarithmic ACD Model: An…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model (1997)Forecasting the frequency of …Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyTime and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …The econometrics of ultra-high frequency data /The econometrics of ultra-hig…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)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)Testing the equality of prediction mean squared errors (1997)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Tests of Conditional Predictive Ability (2006)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)A review of copula models for economic time series (2012)Copula Methods for Forecasting Multivariate Time Series (2013)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Theory of Intraday Patterns: Volume and Price Variability (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Time and the Price Impact of a Trade (2000)Microstructure noise in the continuous case: The pre-averaging approach (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)A model of carbon price interactions with macroeconomic and energy dynamics (2011)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)Reducing demand uncertainty in the platelet supply chain through artificial neural networks and ARIMA models (2019)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 2010Analysis of Financial Time Series1,035 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2002New frontiers for arch models739 cited
  • 2001A nonlinear autoregressive conditional duration model with applications to financial transaction data319 cited
  • 2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks266 cited
  • 2005Stochastic Volatility264 cited
  • 2003The stochastic conditional duration model: a latent variable model for the analysis of financial durations246 cited

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1997
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
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