Nothing Special   »   [go: up one dir, main page]
create a website
GARCH for Irregularly Spaced Data: The ACD-GARCH Model. (1997). Jasiak, Joann ; Ghysels, Eric.
In: CIRANO Working Papers.
RePEc:cir:cirwor:97s-06.

Full description at Econpapers || Download paper

Cited: 10

Citations received by this document

Cites: 26

References cited by this document

Cocites: 25

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks. (2008). McAleer, Michael ; Chan, Felix ; Allen, David ; Peiris, Shelton.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:163-185.

    Full description at Econpapers || Download paper

  2. Duration and Order Type Clusters. (2004). Ng, Wing Lon .
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:730.

    Full description at Econpapers || Download paper

  3. Duration and Order Type Clusters. (2004). Ng, Wing Lon .
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:272.

    Full description at Econpapers || Download paper

  4. Volatility estimation on the basis of price intensities. (2002). Hautsch, Nikolaus ; Gerhard, Frank .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:57-89.

    Full description at Econpapers || Download paper

  5. Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities. (2001). Hautsch, Nikolaus ; Pohlmeier, Winfried.
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:0105.

    Full description at Econpapers || Download paper

  6. Volatility Estimation on the Basis of Price Intensities. (1999). Hautsch, Nikolaus ; Gerhard, Frank .
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:9919.

    Full description at Econpapers || Download paper

  7. Volume versus GARCH effects reconsidered: an application to the Spanish Government Bond Futures Market. (1999). Montalvo, Jose G..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:9:y:1999:i:5:p:469-475.

    Full description at Econpapers || Download paper

  8. The stochastic conditional duration model: a latent factor model for the analysis of financial durations. (1999). Veredas, David ; Bauwens, Luc.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:1999058.

    Full description at Econpapers || Download paper

  9. Time transformations, intraday data and volatility models. (1999). Giot, Pierre.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:1999044.

    Full description at Econpapers || Download paper

  10. Asymmetric ACD models: introducing price information in ACD models with a two state transition model. (1998). Giot, Pierre ; Bauwens, Luc.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:1998044.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. 1 Andrews, D.W.K. and J.C. Monahan, An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator, Econometrica

  2. 10 Engle, R.F. 1982, Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Ination, Econometrica

  3. 11 Engle, R.F. and J.R. Russell 1995, Forecasting Transaction Rates: The Autoregressive Conditional Duration Model, Discussion paper U.C.S.D.

  4. 13 Gallant, A.R. and G. Tauchen 1989, Semiparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing applications , Econometrica 57, 1091-1120.
    Paper not yet in RePEc: Add citation now

  5. 14 Ghysels, E., C. Gourieroux and J. Jasiak 1996a, Market Time and Asset Price Movements: Theory and Estimation, Discussion paper CIRANO and C.R.D.E., Universite de Montreal.

  6. 15 Ghysels, E., C. Gourieroux and J. Jasiak 1996b, Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets , Paper presented at the HFDF Conference, Zurich.

  7. 16 Ghysels, E. and J. Jasiak 1994, Stochastic Volatility and Time Deformation: An Application of Trading Volume and Leverage Eects, Paper presented at the Western Finance Association Meeting, Santa Fe.

  8. 17 Ghysels, E. and J. Jasiak 1996, Long term dependence in Trading, Discussion Paper.
    Paper not yet in RePEc: Add citation now
  9. 18 Hannan, E.J. 1970, Multiple Time Series, Wiley, New York, N.Y..
    Paper not yet in RePEc: Add citation now

  10. 19 Hansen, L.P. 1982, Large Sample Properties of Generalized Method of Moments Estimators, Econometrica 50, 1029-1054.

  11. 2 Bera, A.K. and M.L. Higgins 1995, On ARCH models : properties, estimation and testing, In L. Exley, D.A.R. George, C.J. Roberts and S. Sawyer eds, Surveys in Econometrics. Basil Blackwell : Oxford.
    Paper not yet in RePEc: Add citation now
  12. 20 Haugh, L.D. 1976, Checking the Independence of TwoCovariance Stationary Time Series: A Univariate Residual Cross-Correlation Approach, Journal of the American Statistical Association, 379-385.
    Paper not yet in RePEc: Add citation now
  13. 21 Lancaster, T. 1990, The Econometric Analysis of Transition Data, Cambridge University Press Cambridge.
    Paper not yet in RePEc: Add citation now
  14. 22 Meddahi, N. and E. Renault 1995, Linear Statistical Inference for ARCH-type Processes, Discussion Paper, GREMAQ.
    Paper not yet in RePEc: Add citation now

  15. 23 Newey, W.K. and K. West 1987, A Simple, Positive Semi-Denite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica 55, 703-708.

  16. 24 Nijman, T., and F. Palm 1990, Parameter indentication in ARIMA processes in the presence of regulor but incomplete sampling, Journal of Time Series Analysis, 11, 239-248.
    Paper not yet in RePEc: Add citation now

  17. 25 Nijman, T. and F. Palm 1990, Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models, Journal of Business and Economic Statistics, 8, 405-412.

  18. 26 Palm, F.C. 1996, GARCH Models of Volatility, in G.S. Maddala and C.R. Rao eds., Handbook of Statistics, Volume 14, North-Holland, Amsterdam .
    Paper not yet in RePEc: Add citation now

  19. 27 Palm, F.C. and Nijman, Th. 1984, Missing Observations in the Dynamic Regression Model, Econometrica 52, 1415-1435. Vous pouvez consulter la liste complète des publications du CIRANO et les publications elles-mêmes % sur notre site World Wide Web à ladresse suivante : http://www.cirano.umontreal.ca/publication/page1.html Liste des publications au CIRANO % % Cahiers CIRANO / CIRANO Papers (ISSN 1198-8169)

  20. 3 Bollerslev, T., Y.C. Chou and K. Kroner 1992, ARCH Modelling in Finance : A Selective Review of the Theory and Empirical Evidence, Journal of Econometrics 52, 201-224.

  21. 5 Bollerslev, T. and E. Ghysels 1996, On Periodic Autoregression Conditional Heteroskedasticity, Journal of Business and Economic Statistics.

  22. 6 Cheung, Y.W. and L.K. Ng, 1996,A causality-in-variance test and its applications to nancial market prices, Journal of Econometrics 72, 3348.

  23. 7 Diebold, F.X. and J.A. Lopez 1995, Modelling Volatility Dynamics , in K. Hoover ed, Macroeconomics : Developments, Tensions and Prospects.

  24. 8 Drost, F.C. and T.E. Nijman 1993, Temporal Aggregation of GARCH Processes, Econometrica 61, 909-927.

  25. 9 Drost, F.C. and B.J.M. Werker 1996, Closing the GARCH Gap: Continuous Time GARCH Modelling, Journal of Economics.

  26. 97s-03 Competition and Access in Telecoms: ECPR, Global Price Caps, and Auctions / Marcel Boyer

Cocites

Documents in RePEc which have cited the same bibliography

  1. A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change. (2006). Requena Silvente, Francisco ; Esteve, Vicente.
    In: International Journal of the Economics of Business.
    RePEc:taf:ijecbs:v:13:y:2006:i:1:p:111-128.

    Full description at Econpapers || Download paper

  2. What do “residuals” from first-order conditions reveal about DGE models?. (2006). Letendre, Marc-Andre ; Johri, Alok.
    In: Department of Economics Working Papers.
    RePEc:mcm:deptwp:2006-01.

    Full description at Econpapers || Download paper

  3. Testing the New Keynesian Phillips Curve Without Assuming Identification. (2006). Mavroeidis, Sophocles.
    In: Working Papers.
    RePEc:bro:econwp:2006-13.

    Full description at Econpapers || Download paper

  4. Does Insurance Promote Economic Growth? Evidence from the UK. (2005). Kugler, Maurice ; Ofoghi, Reza.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:8.

    Full description at Econpapers || Download paper

  5. A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators. (2005). Panopoulou, Ekaterini.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:18.

    Full description at Econpapers || Download paper

  6. A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators. (2005). Panopoulou, Ekaterini.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1500205.

    Full description at Econpapers || Download paper

  7. Detecting multiple breaks in time series covariance structure: a non-parametric approach based on the evolutionary spectral density. (2004). Boutahar, Mohamed ; JOUINI, Jamel ; AHAMADA, IBRAHIM.
    In: Applied Economics.
    RePEc:taf:applec:v:36:y:2004:i:10:p:1095-1101.

    Full description at Econpapers || Download paper

  8. A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. (2004). Masayuki, Hirukawa.
    In: Working Papers.
    RePEc:crd:wpaper:04005.

    Full description at Econpapers || Download paper

  9. Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks†. (2004). Tamarit, Cecilio ; Carrion-i-Silvestre, Josep ; Camarero, Mariam.
    In: Economic Working Papers at Centro de Estudios Andaluces.
    RePEc:cea:doctra:e2004_40.

    Full description at Econpapers || Download paper

  10. Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks. (2004). Tamarit, Cecilio ; Carrion-i-Silvestre, Josep ; Camarero, Mariam.
    In: Working Papers in Economics.
    RePEc:bar:bedcje:2004119.

    Full description at Econpapers || Download paper

  11. Learning by Doing and Multiproduction Effects Over the Life Cycle: Evidence from the Semiconductor Industry. (2003). Siebert, Ralph.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3734.

    Full description at Econpapers || Download paper

  12. Breaking the panels. An application to the GDP per capita. (2003). Lopez-Bazo, Enrique ; del Barrio Castro, Tomás ; Carrion-i-Silvestre, Josep.
    In: Working Papers in Economics.
    RePEc:bar:bedcje:200397.

    Full description at Econpapers || Download paper

  13. Learning by Doing and Multiproduction Effects over the Life Cycle: Evidence from the Semiconductor Industry. (2002). Siebert, Ralph.
    In: CIG Working Papers.
    RePEc:wzb:wzebiv:fsiv02-23.

    Full description at Econpapers || Download paper

  14. Hausman Tests for Inefficient Estimators: Application to Demand for Health Care Service (revised). (2002). .
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:509.02.

    Full description at Econpapers || Download paper

  15. GARCH for Irregularly Spaced Data: The ACD-GARCH Model. (1997). Jasiak, Joann ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-06.

    Full description at Econpapers || Download paper

  16. Bootstrap Methods in Econometrics: Theory and Numerical Performance. (1996). Horowitz, Joel.
    In: Econometrics.
    RePEc:wpa:wuwpem:9602009.

    Full description at Econpapers || Download paper

  17. Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures. (1996). Levin, Andrew ; Denhaan, Wouter.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0195.

    Full description at Econpapers || Download paper

  18. Labor market dynamics when effort depends on wage growth comparisons. (1996). Urbain, Jean-Pierre ; Palm, Franz ; de la Croix, David.
    In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
    RePEc:ctl:louvir:1996019.

    Full description at Econpapers || Download paper

  19. Intertemporal Substitution in Import Demand and Habit Formation. (1996). Urbain, Jean-Pierre ; de la Croix, David.
    In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
    RePEc:ctl:louvir:1996002.

    Full description at Econpapers || Download paper

  20. Unit Root Tests and the Burden of Proof. (1995). van Norden, Simon ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9502005.

    Full description at Econpapers || Download paper

  21. Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator. (1995). West, Kenneth.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0183.

    Full description at Econpapers || Download paper

  22. Small Sample Properties of GMM for Business Cycle Analysis. (1995). Denhaan, Wouter ; Christiano, Lawrence.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0177.

    Full description at Econpapers || Download paper

  23. Inventory Models. (1993). West, Kenneth.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0143.

    Full description at Econpapers || Download paper

  24. Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS. (1991). Svensson, Lars ; Rose, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3685.

    Full description at Econpapers || Download paper

  25. Tests of Specification for Parametric and Semiparametric Models. (1991). Whang, Yoon-Jae ; Andrews, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:968.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 21:57:33 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.