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Econometric Modeling of Multivariate Irregularly-Spaced High-Frequency Data
8 references·10 citing·46 second hop
Econometric Modeling of Multivariate Irregularly-Spaced High-Frequency Data (2000)Econometric Modeling of Multivariate Irre…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…New York Stock Exchange Systems and Trading Procedures (1996)New York Stock Exchange Syste…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The Correlation Structure of the Output Process of Some Single Server Queueing Systems (1968)The Correlation Structure of …An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile (2024)An empirical review of dynami…Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (2018)Feasible invertibility condit…Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models (2017)Five different distributions …Comparison of Value-at-Risk models using the MCS approach (2016)Comparison of Value-at-Risk m…A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach (2011)A detailed investigation of t…Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading (2009)Using High-Frequency Transact…Modelling the buy and sell intensity in a limit order book market (2007)Modelling the buy and sell in…Algorithmic Trading Patterns in Xetra Orders (2007)Algorithmic Trading Patterns …Stochastic Conditional Intensity Processes (2006)Stochastic Conditional Intens…Order aggressiveness and order book dynamics (2005)Order aggressiveness and orde…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The theory of queues with a single server (1952)The Output of a Queuing System (1956)Introduction to the Theory of Queues. 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this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 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
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1988Trades, quotes, inventories, and information489 cited
  • 1996New York Stock Exchange Systems and Trading Procedures122 cited
  • 1968The Correlation Structure of the Output Process of Some Single Server Queueing Systems72 cited

Cited by

  • 2006Stochastic Conditional Intensity Processes91 cited
  • 2005Order aggressiveness and order book dynamics84 cited
  • 2007Modelling the buy and sell intensity in a limit order book market70 cited
  • 2018Feasible invertibility conditions and maximum likelihood estimation for observation-driven models68 cited
  • 2007Algorithmic Trading Patterns in Xetra Orders58 cited
  • 2016Comparison of Value-at-Risk models using the MCS approach52 cited
  • 2009Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

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48 cited
  • 2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile30 cited
  • 2011A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach26 cited
  • 2017Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models22 cited