Nothing Special   »   [go: up one dir, main page]

create a website
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

Cited: 0

Citations received by this document

Cites: 42

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. [1] Bauwens, Luc / Giot, Pierre / Grammig, Joachim / Veredas, David (2003): A Comparison of Financial Duration Models via Density Forecast, in: International Journal of Forecasting.

  2. [10] De Luca, Giovanni / Gallo, Gampiero M. (2004): Mixture Processes for Financial Intradaily Durations, in: Studies in Nonlinear Dynamics & Econometrics, Vol. 8, Iss. 2.

  3. [11] Dufour, Alfonso / Engle, Robert F. (2000): The ACD-Model: Predictability of the Time Between Consecutive Trades, Discussion Papers in Finance, No. 2000-05, University of Reading & University of California.
    Paper not yet in RePEc: Add citation now
  4. [12] Engle, Robert F. (2000): The Econometrics of Ultra-HighFrequency Data, in: Econometrica, Vol. 68, No. 1, P. 1-22.

  5. [13] Engle, Robert F. / Lunde, Asger (2003): Trades and Quotes: A Bivariate Process, in: Journal of Financial Econometrics, Vol. 1, No. 2, P. 159-188.
    Paper not yet in RePEc: Add citation now
  6. [14] Engle, Robert F. / Russell, Jeffrey R. (1997): Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model, in: Journal of Empirical Finance, Vol. 4, P. 187-212.

  7. [15] Engle, Robert F. / Russell, Jeffrey R. (1998): Autoregressive Conditional Duration: A New Model for Irregularly-Spaced Financial Transactions Data, in: Econometrica, Vol. 66, P. 1127-1162.

  8. [16] Engle, Robert F. / Russell, Jeffrey R. (2004): A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The ACM-ACD Model, Working Paper, University of Chicago & University of California.
    Paper not yet in RePEc: Add citation now
  9. [17] Fernandes, Marcelo / Grammig, Joachim (2003): A Family of Autoregressive Conditional Durations Models, in: Ensaios Econômicos, No. 501, ISSN 0104-8910.

  10. [18] Foucault, Thierry / Kadan, Ohad / Kandel, Eugene (2003): Limit Order Book as a Market for Liquidity, Working Paper, HEC.

  11. [19] Ghysels, Eric / Jasiak, Joanna (1997): GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model, in: Studies in Nonlinear Dynamics & Econometrics, Vol. 2, Iss. 2.

  12. [2] Bauwens, Luc / Giot, Pierre (2001): Econometric Modelling of Stock Market Intraday Activity, Kluwer Academic Publishers, Dordrecht, Netherlands.

  13. [20] Gourieroux, Chiristian / Jasiak, John (2001): Financial Econometrics, Princeton University Press, Princeton.
    Paper not yet in RePEc: Add citation now
  14. [21] Grammig, Joachim / Hujer, Reinhard (2001): Forecasting intraday return volatility using ultra-high-frequency GARCH: does the duration model matter?, in: Econometric Studies, Lit, Münster, P. 203-224.
    Paper not yet in RePEc: Add citation now
  15. [22] Grammig, Joachim / Hujer, Reinhard (2002): Simultaneous modeling of price processes and transaction intensities, in: Allgemeines Statistisches Archiv, Vol. 86, Iss. 1, P. 31-53.
    Paper not yet in RePEc: Add citation now
  16. [23] Härdle, Wolfgang / Müller, Marlene / Sperlich, Stefan / Werwatz, Axel (2004): Nonparametric and Semiparametric Models, Springer, Heidelberg.
    Paper not yet in RePEc: Add citation now
  17. [24] Hall, Anthony / Hautsch, Nikolaus / McCulloch, James (2003): Estimating the Intensity of Buy and Sell Arrivals in a Limit Order Book Market, Working Paper, CoFE & UTS.
    Paper not yet in RePEc: Add citation now
  18. [25] Harrell Jr., Frank E. (2002): Regression Modeling Strategies, With Applications to Linear Models, Logistic Regression, and Survival Analysis, Springer, New York et al.
    Paper not yet in RePEc: Add citation now
  19. [26] Harris, Larry (2003): Trading and Exchanges - Market Microstructure for Practitioners, Oxford University Press, New York.
    Paper not yet in RePEc: Add citation now
  20. [27] Hautsch, Nikolaus (2002a): Testing the Conditional Mean Function of Autoregressive Conditional Duration Models, Working Paper, CoFE.
    Paper not yet in RePEc: Add citation now
  21. [28] Hautsch, Nikolaus (2002b): Modelling Intraday Trading Activity Using Box-Cox ACD Models, Working Paper, CoFE.
    Paper not yet in RePEc: Add citation now
  22. [29] Hautsch, Nikolaus (2004): Modelling Irregularly Spaced Financial Data, Springer, Heidelberg.
    Paper not yet in RePEc: Add citation now
  23. [3] Bauwens, Luc / Giot, Pierre (2003): Asymmetric ACD Models: Introducing Price information in ACD Models, in: Empirical Economics, Volume 28, P. 1-23.

  24. [30] Hautsch, Nikolaus / Pohlmeier, Winfried (2002): Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities, in: Allgemeines Statistisches Archiv, Vol. 86, Iss. 1, P. 5-30.
    Paper not yet in RePEc: Add citation now
  25. [31] Johnson, Norman L. / Kotz, Samuel / Balakrishnan, N. (1994): Continuous univariate Distributions, Vol. 1, 2nd ed., John Wiley & Sons, New York.
    Paper not yet in RePEc: Add citation now
  26. [32] Johnson, Norman L. / Kotz, Samuel / Balakrishnan, N. (1995): Continuous univariate Distributions, Vol. 2, 2nd ed., John Wiley & Sons, New York.
    Paper not yet in RePEc: Add citation now
  27. [33] Kleiber, Christian / Kotz, Samuel (2003): Statistical Size Distributions in Economics and Actuarial Sciences, John Wiley & Sons, New Jersey.
    Paper not yet in RePEc: Add citation now
  28. [34] Lancaster, Tony (1990): The Econometric Analysis of Transition Data, Cambridge University Press, New York et al.
    Paper not yet in RePEc: Add citation now
  29. [35] Liesenfeld, Roman / Pohlmeier, Winfried (2003): A Dynamic Integer Count Data Model for Financial Transaction Prices, Discussion Paper, CoFE.

  30. [36] Lunde, Asger (2000): A Generalized Gamma Autoregressive Conditional Duration Model, Discussion Paper, Aalborg University.
    Paper not yet in RePEc: Add citation now
  31. [37] Ranaldo, Angelo (2004): Order aggressiveness in limit order book markets, in: Journal of Financial Markets, Vol. 7, Iss. 1, P. 53-74.

  32. [38] Rydberg, Tina Hviid / Shepard, Neil (2003): Dynamics of tradeby -trade price movements: decomposition and models, in: Journal of Financial Econometrics, Vol. 1, Iss. 1, P. 2-25.
    Paper not yet in RePEc: Add citation now
  33. [39] Russell, Jeffrey R. (1999): Econometric Modelling of Multivariate Irregularly-Spaced High Frequency Data, Working Paper, University of Chicago.
    Paper not yet in RePEc: Add citation now
  34. [4] Bauwens, Luc / Galli, Fausto / Giot, Pierre (2003): The Moments of Log-ACD Models, Working Paper, CORE & FUNDP Namur.

  35. [40] Russell, Jeffrey R. / Tsay, Ruey S. / Zhang, Michael Y. (2001): A nonlinear autoregressive conditional model with applications to financial transaction data, in : Journal of Econometrics, Vol. 104, P. 179-207.

  36. [41] Tay, Anthony / Ting, Christopher / Tse, Yiu Kuen / Warachka, Mitch (2004): Marked Durations and Their Implications for Market Microstructure, Discussion Paper, Singapore Management University.
    Paper not yet in RePEc: Add citation now
  37. [42] Tsay, Ruey S. (2002): Analysis of Financial Time Series, John Wiley & Sons, New York.
    Paper not yet in RePEc: Add citation now
  38. [5] Bauwens, Luc / Hautsch, Nikolaus (2003): Stochastic Conditional Intensity Process, Working Paper, CORE & CoFE.

  39. [6] Bowsher, Cliff (2003): Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models, Nuffield Economics Discussion Paper Series, University of Oxford.

  40. [7] Campbell, John Y. / Lo, Andrew W. / MacKinley, A. Craig (1997): The Econometrics of Financial Markets, Princeton University Press, Princeton.
    Paper not yet in RePEc: Add citation now
  41. [8] Cao, Charles / Hansch, Oliver / Wang, Xiaoxin (2004): The Informational Content of an Open Limit Order Book, Discussion Paper, Department of Finance, Pennsylvania State University.
    Paper not yet in RePEc: Add citation now
  42. [9] Dacorogna, Michel M. / Gencay, Ramazan / Müller, Ulrich / Olsen, Richard B. / Pictet, Olivier V. (2001): An Introduction To High-Frequency Finance, Academic Press, San Diego.

Cocites

Documents in RePEc which have cited the same bibliography

  1. .

    Full description at Econpapers || Download paper

  2. Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously. (2014). Trojan, Sebastian .
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2013:41.

    Full description at Econpapers || Download paper

  3. Econometric Time Series Specification Testing in a Class of Multiplicative Error Models. (2014). Saart, Patrick ; GAO, Jiti ; Kim, Namhyun .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2014-1.

    Full description at Econpapers || Download paper

  4. The dynamic mixed hitting-time model for multiple transaction prices and times. (2014). Renault, Eric ; Werker, Bas J. M., ; van der Heijden, Thijs .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:2:p:233-250.

    Full description at Econpapers || Download paper

  5. Maximum likelihood estimates for positive valued dynamic score models; The DySco package. (2014). Andres, Philipp.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:34-42.

    Full description at Econpapers || Download paper

  6. Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data. (2014). Chokri, Mamoghli ; Emnal, Rouetbi .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2014-01-6.

    Full description at Econpapers || Download paper

  7. Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models. (2013). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; McCabe, Brendan P. M., ; Ng, Jason .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:3:p:411-430.

    Full description at Econpapers || Download paper

  8. Value at risk forecasts by extreme value models in a conditional duration framework. (2013). Herrera, Rodrigo ; Schipp, Bernhard .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:23:y:2013:i:c:p:33-47.

    Full description at Econpapers || Download paper

  9. The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics. (2013). NG, KOK HAUR ; Allen, David ; Peiris, Shelton.
    In: Economics Letters.
    RePEc:eee:ecolet:v:120:y:2013:i:1:p:117-122.

    Full description at Econpapers || Download paper

  10. Garch models without positivity constraints: exponential or log garch?. (2012). Zakoian, Jean-Michel ; Wintenberger, Olivier ; Francq, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:41373.

    Full description at Econpapers || Download paper

  11. Intraday dynamics of volatility and duration: Evidence from Chinese stocks. (2012). Maheu, John ; Liu, Chun.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:3:p:329-348.

    Full description at Econpapers || Download paper

  12. On the intraday periodicity duration adjustment of high-frequency data. (2012). Wu, Zhengxiao .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:282-291.

    Full description at Econpapers || Download paper

  13. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2011). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201125.

    Full description at Econpapers || Download paper

  14. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models. (2011). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; Brendan P. M. McCabe, ; Ng, Jason .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2011-11.

    Full description at Econpapers || Download paper

  15. Shrinkage estimation of semiparametric multiplicative error models. (2011). Gallo, Giampiero ; Brownlees, Christian.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:365-378.

    Full description at Econpapers || Download paper

  16. Distribution Choice for the Asymmetric ACD Models. (2011). Bień-Barkowska, Katarzyna.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:11:y:2011:p:55-72.

    Full description at Econpapers || Download paper

  17. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2010). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201019.

    Full description at Econpapers || Download paper

  18. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-401.

    Full description at Econpapers || Download paper

  19. A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data. (2010). McCabe, Brendan ; Martin, Gael ; Brendan P. M. McCabe, ; Freeland, Keith.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2010-2.

    Full description at Econpapers || Download paper

  20. The Birnbaum–Saunders autoregressive conditional duration model. (2010). Bhatti, Chad R..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:80:y:2010:i:10:p:2062-2078.

    Full description at Econpapers || Download paper

  21. Comparing and evaluating Bayesian predictive distributions of asset returns. (2010). Geweke, John ; amisano, gianni.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:2:p:216-230.

    Full description at Econpapers || Download paper

  22. Nonparametric density estimation for positive time series. (2010). Rombouts, Jeroen ; Bouezmarni, Taoufik ; Rombouts, Jeroen V. K., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:2:p:245-261.

    Full description at Econpapers || Download paper

  23. DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING. (2010). Ng, Wing Lon .
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:33:y:2010:i:1:p:27-43.

    Full description at Econpapers || Download paper

  24. Analysis of ultra-high-frequency financial data using advanced Fourier transforms. (2009). Giampaoli, Iacopo ; Ng, Wing Lon ; Constantinou, Nick .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:6:y:2009:i:1:p:47-53.

    Full description at Econpapers || Download paper

  25. Implied Volatility with Time-Varying Regime Probabilities. (2008). Lanne, Markku ; Ahoniemi, Katja .
    In: MPRA Paper.
    RePEc:pra:mprapa:23721.

    Full description at Econpapers || Download paper

  26. Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Sun, Edward ; Fabozzi, Frank.
    In: Annals of Finance.
    RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241.

    Full description at Econpapers || Download paper

  27. Empirical market microstructure: An analysis of the BRL/US$ exchange rate market. (2008). Laurini, Márcio ; Furlani, Luiz Gustavo Cassilatti, ; Portugal, Marcelo Savino.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:9:y:2008:i:4:p:247-265.

    Full description at Econpapers || Download paper

  28. A new marked point process model for the federal funds rate target: Methodology and forecast evaluation. (2008). Grammig, Joachim ; Kehrle, Kerstin .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:7:p:2370-2396.

    Full description at Econpapers || Download paper

  29. AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE. (2008). Pacurar, Maria .
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:22:y:2008:i:4:p:711-751.

    Full description at Econpapers || Download paper

  30. Trade intensity in the Russian stock market: dynamics, distribution and determinants. (2007). Anatolyev, Stanislav ; Shakin, Dmitry.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:2:p:87-104.

    Full description at Econpapers || Download paper

  31. An empirical model for durations in stocks. (2007). .
    In: Annals of Finance.
    RePEc:kap:annfin:v:3:y:2007:i:2:p:241-255.

    Full description at Econpapers || Download paper

  32. Detecting Misspecifications in Autoregressive Conditional Duration Models. (2007). Lee, Yoon-Jin ; Hong, Yongmiao.
    In: Caepr Working Papers.
    RePEc:inu:caeprp:2007019.

    Full description at Econpapers || Download paper

  33. Multivariate autoregressive modeling of time series count data using copulas. (2007). Heinen, Andréas ; Rengifo, Erick .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:564-583.

    Full description at Econpapers || Download paper

  34. Testing the Markov property with high frequency data. (2007). Fernandes, Marcelo ; Amaro de Matos, João.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:1:p:44-64.

    Full description at Econpapers || Download paper

  35. Econometric analysis of financial trade processes by discrete mixture duration models. (2007). Hujer, Reinhard ; Vuletic, Sandra.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:2:p:635-667.

    Full description at Econpapers || Download paper

  36. Nonparametric Density Estimation for Positive Time Series. (2006). Rombouts, Jeroen ; Bouezmarni, Taoufik.
    In: Cahiers de recherche.
    RePEc:iea:carech:0609.

    Full description at Econpapers || Download paper

  37. A Mixture Multiplicative Error Model for Realized Volatility. (2006). Lanne, Markku.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2006/3.

    Full description at Econpapers || Download paper

  38. Financial econometric analysis at ultra-high frequency: Data handling concerns. (2006). Gallo, Giampiero ; Brownlees, Christian.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:4:p:2232-2245.

    Full description at Econpapers || Download paper

  39. Bayesian analysis of the stochastic conditional duration model. (2006). Martin, Gael ; Forbes, Catherine ; Strickland, Chris M..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:50:y:2006:i:9:p:2247-2267.

    Full description at Econpapers || Download paper

  40. Modelling Financial High Frequency Data Using Point Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc ; Luc, Bauwens ; Nikolaus, HAUTSCH.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006039.

    Full description at Econpapers || Download paper

  41. The information content of the Bond-Equity Yield Ratio: better than a random walk?. (2006). PETITJEAN, Mikael ; Giot, Pierre.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2006089.

    Full description at Econpapers || Download paper

  42. Nonparametric density estimation for positive time series. (2006). Rombouts, Jeroen ; Bouezmarni, Taoufik.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2006085.

    Full description at Econpapers || Download paper

  43. Modelling financial high frequency data using point processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2006080.

    Full description at Econpapers || Download paper

  44. Trade intensity in the Russian stock market:dynamics, distribution and determinants. (2006). Anatolyev, Stanislav ; Shakin, Dmitry.
    In: Working Papers.
    RePEc:cfr:cefirw:w0070.

    Full description at Econpapers || Download paper

  45. An Empirical Model for Durations in Stocks. (2005). Simonsen, Ola.
    In: Umeå Economic Studies.
    RePEc:hhs:umnees:0657.

    Full description at Econpapers || Download paper

  46. Evaluating models of autoregressive conditional duration. (2004). Teräsvirta, Timo ; Meitz, Mika.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0557.

    Full description at Econpapers || Download paper

  47. 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

  48. 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

  49. Testing weak exogeneity in the exponential family : an application to financial point processes. (2004). Veredas, David ; Dolado, Juan ; RODRIGUEZ-POO, Juan .
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2004049.

    Full description at Econpapers || Download paper

  50. Finite and infinite mixtures for financial durations. (2003). De Luca, Giovanni ; Zuccolotto, Paola .
    In: Metron - International Journal of Statistics.
    RePEc:mtn:ancoec:030307.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-24 09:36:28 || 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.