Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks

16 references·16 citing·33 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
1985Continuous Auctions and Insider Trading9,626 cited
1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
2012The Econometrics of Financial Markets5,875 cited
1991Measuring the Information Content of Stock Trades1,868 cited
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
1995Market microstructure theory1,305 cited
1992Time and the Process of Security Price Adjustment1,225 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
1980Dealership market965 cited
1994Transactions, Volume, and Volatility870 cited
n.d.The econometrics of ultra-high frequency data /784 cited
1997

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

522 cited

Cited by

2010The Birnbaum–Saunders autoregressive conditional duration model82 cited
2013Modelling Asset Prices for Algorithmic and High-Frequency Trading82 cited
2010Analysis of High-Frequency Data80 cited
2010Modeling Financial Return Dynamics via Decomposition71 cited
2013GARCH models without positivity constraints: Exponential or log GARCH?68 cited
2008Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks64 cited
2008Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model52 cited
2002Volatility estimation on the basis of price intensities50 cited
2010Long memory in intertrade durations, counts and realized volatility of NYSE stocks48 cited
2009Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading48 cited
2008Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models33 cited
2006Econometric analysis of financial trade processes by discrete mixture duration models32 cited
2003An empirical analysis of the role of the trading intensity in information dissemination on the NYSE32 cited
2014The modeling and forecasting of extreme events in electricity spot markets31 cited
2018CONDITIONAL DURATION MODELS FOR HIGH‐FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS28 cited
2008The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system26 cited