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A Generalized Gamma Autoregressive Conditional Duration Model

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
1997High frequency data in financial markets: Issues and applications411 cited
1997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model224 cited
1998GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model141 cited

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2004Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data41 cited
2004Analysis of High Frequency Financial Data40 cited
2013Value at risk forecasts by extreme value models in a conditional duration framework39 cited
2008Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models33 cited
2006Econometric analysis of financial trade processes by discrete mixture duration models

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32 cited

2014The modeling and forecasting of extreme events in electricity spot markets31 cited

2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile30 cited

2006Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature30 cited

2006Testing the Conditional Mean Function of Autoregressive Conditional Duration Models27 cited

2011Intraday Dynamics of Volatility and Duration: Evidence from Chinese Stocks26 cited

2017Chasing volatility24 cited

2001Modelling Intraday Trading Activity Using Box-Cox Acd Models24 cited

2007Modeling a Multivariate Transaction Process23 cited