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The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks. (2000). Bauwens, Luc ; Giot, Pierre .
In: CORE Discussion Papers RP.
RePEc:cor:louvrp:1497.

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  91. An analysis of intraday market behaviour before takeover announcements. (2012). Rodrigues, Bruno Dore ; Souza, Reinaldo Castro ; Stevenson, Maxwell J..
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  92. Optimal Predictions of Powers of Conditionally Heteroskedastic Processes. (2012). Zakoian, Jean-Michel ; Francq, Christian.
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  93. The Dyanamic Location/Scale Model: with applications to intra-day financial data. (2012). Harvey, Andrew ; Andres, Philipp.
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  94. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2011). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
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  95. Data-driven estimation of diurnal duration patterns. (2011). Feng, Yuanhua.
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  96. Multistate asymmetric ACD model: an application to order dynamics in the EUR/PLN spot market. (2011). Bień-Barkowska, Katarzyna.
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  97. Extreme value models in a conditional duration intensity framework. (2011). Herrera, Rodrigo ; Schipp, Bernhard .
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  98. Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian.
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  99. Volatility and covariation of financial assets: A high-frequency analysis. (2011). Cartea, Álvaro ; Karyampas, Dimitrios .
    In: Journal of Banking & Finance.
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  100. Distribution Choice for the Asymmetric ACD Models. (2011). Bień-Barkowska, Katarzyna.
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  101. Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2010). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus.
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  102. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
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  103. From Trade-to-Trade in US Treasuries. (2010). Henry, Ólan ; Dungey, Mardi.
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  104. Time-varying autoregressive conditional duration model. (2010). Bortoluzzo, Adriana ; Morettin, Pedro ; Toloi, Clelia .
    In: Journal of Applied Statistics.
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  105. The Birnbaum–Saunders autoregressive conditional duration model. (2010). Bhatti, Chad R..
    In: Mathematics and Computers in Simulation (MATCOM).
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  106. Forecasting using high-frequency data: a comparison of asymmetric financial duration models. (2009). Cai, Charlie X ; Zhang, QI ; Keasey, Kevin.
    In: Journal of Forecasting.
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  107. Detrended fluctuation analysis of intertrade durations. (2009). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Chen, Wei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:388:y:2009:i:4:p:433-440.

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  108. Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market. (2009). McAleer, Michael ; Allen, David ; Lazarov, Zdravetz ; Peiris, Shelton.
    In: Mathematics and Computers in Simulation (MATCOM).
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  109. On the interday homogeneity in the intraday rate of trading. (2009). Bhatti, Chad R..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:7:p:2250-2257.

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  110. Intraday trade and quote dynamics: A Cox regression analysis. (2009). Bhatti, Chad R..
    In: Mathematics and Computers in Simulation (MATCOM).
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  111. Informed trading and liquidity in the Shanghai Stock Exchange. (2009). Wong, Woon ; Tan, Dijun ; Tian, Yixiang.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:1-2:p:66-73.

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  112. Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange. (2009). Duchesne, Pierre ; Dionne, Georges ; Pacurar, Maria .
    In: Journal of Empirical Finance.
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  113. Dynamic modeling under linear-exponential loss. (2009). Anatolyev, Stanislav.
    In: Economic Modelling.
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  114. Volatility and covariation of financial assets: a high-frequency analysis. (2009). Cartea, Álvaro ; Karyampas, Dimitrios .
    In: DEE - Working Papers. Business Economics. WB.
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  115. The impact of hidden liquidity in limit order books. (2008). Sands, Patrik ; Frey, Stefan .
    In: CFS Working Paper Series.
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  116. Handbook on Information Technology in Finance. (2008). .
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  117. Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown. (2008). Ranasinghe, Kulan ; Silvapulle, Mervyn J..
    In: Monash Econometrics and Business Statistics Working Papers.
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  118. Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown. (2008). Ranasinghe, Kulan ; Silvapulle, Mervyn J..
    In: Monash Econometrics and Business Statistics Working Papers.
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  119. Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Sun, Edward ; Fabozzi, Frank.
    In: Annals of Finance.
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  120. Time-Varying Autoregressive Conditional Duration Model. (2008). Bortoluzzo, Adriana B. ; Toloi, Clelia M. C., ; Morettin, Pedro A..
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  121. Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models. (2008). Hautsch, Nikolaus ; Jeleskovic, Vahidin.
    In: SFB 649 Discussion Papers.
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  122. HOW DO PUBLIC ANNOUNCEMENTS AFFECT THE FREQUENCY OF TRADING IN U.S. AIRLINE STOCKS?. (2008). Nowak, Sylwia.
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  123. Scaling in the distribution of intertrade durations of Chinese stocks. (2008). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Chen, Wei.
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  124. The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system. (2008). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Money and Finance.
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  125. Empirical market microstructure: An analysis of the BRL/US$ exchange rate market. (2008). Laurini, Márcio ; Furlani, Luiz Gustavo Cassilatti, ; Portugal, Marcelo Savino.
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  126. Information content of inter-trade time on the Chinese market. (2008). Chen, Tao ; Li, Jie ; Cai, Jun.
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  127. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks. (2008). McAleer, Michael ; Chan, Felix ; Allen, David ; Peiris, Shelton.
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  128. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2008). Hautsch, Nikolaus.
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  129. Duration time-series models with proportional hazard. (2008). gourieroux, christian ; Gagliardini, Patrick.
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  130. AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE. (2008). Pacurar, Maria .
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  131. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2007). Hautsch, Nikolaus.
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  132. Using self-organizing maps to adjust for intra-day seasonality. (2007). Ben Omrane, Walid ; de Bodt, Eric .
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  133. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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  134. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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  135. A (semi-)parametric functional coefficient autoregressive conditional duration model. (2006). Medeiros, Marcelo ; Fernandes, Marcelo ; Veiga, Alvaro.
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  136. Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2006). Gallo, Giampiero ; De Luca, Giovanni.
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  137. Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model (in English). (2006). Bubak, Vit ; Ike, Filip.
    In: Czech Journal of Economics and Finance (Finance a uver).
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  138. Waiting times between orders and trades in double-auction markets. (2006). Scalas, Enrico ; Kirchler, Michael ; Kaizoji, Taisei ; Tedeschi, Alessandra ; Huber, Jurgen.
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  139. The application of continuous-time random walks in finance and economics. (2006). Scalas, Enrico.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:362:y:2006:i:2:p:225-239.

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  140. Modelling Financial High Frequency Data Using Point Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc ; Luc, Bauwens ; Nikolaus, HAUTSCH.
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  141. Modelling financial high frequency data using point processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc.
    In: CORE Discussion Papers.
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  142. Dynamic modeling under linear-exponential loss. (2006). Anatolyev, Stanislav.
    In: Working Papers.
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  143. Trade intensity in the Russian stock market:dynamics, distribution and determinants. (2006). Anatolyev, Stanislav ; Shakin, Dmitry.
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  144. Dynamic modeling under linear-exponential loss. (2006). Anatolyev, Stanislav.
    In: Working Papers.
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  145. Trade intensity in the Russian stock market:dynamics, distribution and determinants. (2006). Anatolyev, Stanislav ; Shakin, Dmitry.
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  146. Five Years of Continuous-time Random Walks in Econophysics. (2005). Scalas, Enrico.
    In: Finance.
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  147. Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange. (2005). Dionne, Georges ; Pacurar, Maria ; Duchesne, Pierre.
    In: Working Papers.
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  148. Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange. (2005). Duchesne, Pierre ; Dionne, Georges ; Pacurar, Maria .
    In: Cahiers de recherche.
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  149. Completion time structures of stock price movements. (2005). Timmermann, Allan ; Lunde, Asger.
    In: Annals of Finance.
    RePEc:kap:annfin:v:1:y:2005:i:3:p:293-326.

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  150. Duration, volume and volatility impact of trades. (2005). Manganelli, Simone.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:8:y:2005:i:4:p:377-399.

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  151. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
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  152. Anomalous waiting times in high-frequency financial data. (2004). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mantelli, Maurizio ; Luckock, Hugh ; Mainardi, Francesco .
    In: Quantitative Finance.
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  153. Evaluating models of autoregressive conditional duration. (2004). Teräsvirta, Timo ; Meitz, Mika.
    In: SSE/EFI Working Paper Series in Economics and Finance.
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  154. A comparison of financial duration models via density forecasts. (2004). Veredas, David ; Grammig, Joachim ; Giot, Pierre ; Bauwens, Luc.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:4:p:589-609.

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  155. Effects of NYMEX trading on IPE Brent Crude futures markets: a duration analysis. (2004). Tamvakis, Michael N. ; Lin, Sharon Xiaowen .
    In: Energy Policy.
    RePEc:eee:enepol:v:32:y:2004:i:1:p:77-82.

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  156. An empirical analysis of the role of the trading intensity in information dissemination on the NYSE. (2004). Spierdijk, Laura.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:2:p:163-184.

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  157. 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.
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  158. Finite and infinite mixtures for financial durations. (2003). De Luca, Giovanni ; Zuccolotto, Paola .
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  159. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  160. A family of autoregressive conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  161. Bounds for the probability distribution function of the linear ACD process. (2003). Fernandes, Marcelo.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  162. Dynamic latent factor models for intensity processes. (2003). Hautsch, Nikolaus ; Bauwens, Luc.
    In: CORE Discussion Papers.
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  163. The moments of Log-ACD models. (2003). Giot, Pierre ; Galli, Fausto ; Bauwens, Luc.
    In: CORE Discussion Papers.
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  164. Modelling Intraday Trading Activity Using Box-Cox-ACD Models. (2002). Hautsch, Nikolaus.
    In: CoFE Discussion Papers.
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  165. Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News. (2002). van Soest, A. H. O., ; Nijman, T E ; Spierdijk, L.
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  166. Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News. (2002). van soest, arthur ; Nijman, Theo ; Spierdijk, L. ; van Soest, A. H. O., .
    In: Discussion Paper.
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  167. A family of autoregressive conditional duration models. (2002). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  168. 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.

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  170. Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities. (2001). Hautsch, Nikolaus ; Pohlmeier, Winfried.
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  171. On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach.. (2001). Veredas, David ; Espasa, Antoni ; Rodriguez-Poo, Juan M..
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