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A nonlinear autoregressive conditional duration model with applications to financial transaction data. (2001). Russell, Jeffrey R. ; Tsay, Ruey S. ; Zhang, Michael Yuanjie.
In: Journal of Econometrics.
RePEc:eee:econom:v:104:y:2001:i:1:p:179-207.

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  35. PERFORMANCE OF AMERICAN AND RUSSIAN JOINT STOCK COMPANIES ON FINANCIAL MARKET. A MICROSTRUCTURE PERSPECTIVE. (2016). Shachmurove, Yochanan ; Osinska, Magdalena ; Dobrzynski, Andrzej .
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    In: Physica A: Statistical Mechanics and its Applications.
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  38. Solvency capital requirement for a temporal dependent losses in insurance. (2016). Belkacem, Lotfi ; de Peretti, Christian ; Araichi, Sawssen.
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  39. Modelling and Forecasting with Financial Duration Data Using Non-linear Model. (2016). NG, KOK HAUR ; Kok-Haur, NG ; Ah-Hin, Pooi ; Huei-Ching, Soo .
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  40. Price duration versus trading volume in high-frequency data for selected DAX companies. (2016). Gurgul, Henryk ; Syrek, Robert ; Mitterer, Christoph .
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  41. Semiparametric Autoregressive Conditional Duration Model: Theory and Practice. (2015). Saart, Patrick ; GAO, Jiti ; Allen, David.
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  42. On inter-arrival times of bond market extreme events. An application to seven European markets. (2015). Venetis, Ioannis ; Siakoulis, Vasileios.
    In: Journal of Economics and Finance.
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  43. Modeling bank default intensity in the USA using autoregressive duration models. (2015). Siakoulis, Vasilios .
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  44. Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse. (2015). Dionne, Georges ; Zhou, Xiaozhou ; Pacurar, Maria .
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  45. Entropy test and residual empirical process for autoregressive conditional duration models. (2015). Oh, Haejune ; Lee, Sangyeol.
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  46. Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts. (2014). Trojan, Sebastian .
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  47. A Semiparametric Conditional Duration Model. (2014). Ullah, Aman ; Dungey, Mardi ; Amanullah, ; Wang, Yun ; Long, Xiangdong .
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  48. Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market. (2014). Huptas, Roman .
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  49. How does public information affect the frequency of trading in airline stocks?. (2014). Nowak, Sylwia ; Anderson, Heather.
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  50. The dynamic mixed hitting-time model for multiple transaction prices and times. (2014). Renault, Eric ; Werker, Bas J. M., ; van der Heijden, Thijs .
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  51. A semiparametric conditional duration model. (2014). Dungey, Mardi ; Amanullah, ; Wang, Yun ; Long, Xiangdong .
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  52. Copula-based dynamic conditional correlation multiplicative error processes. (2013). Hautsch, Nikolaus ; Bodnar, Taras.
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  53. On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations. (2013). Feng, Yuanhua ; Peitz, Christian ; Forstinger, Sarah .
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  54. A (semi-)parametric functional coefficient autoregressive conditional duration model. (2013). Medeiros, Marcelo ; Fernandes, Marcelo ; Veiga, Alvaro.
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  55. Does order flow in the European Carbon Futures Market reveal information?. (2013). Ibrahim, Boulis M. ; Kalaitzoglou, Iordanis .
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  58. Estimating and simulating Weibull models of risk or price durations: An application to ACD models. (2013). NG, KOK HAUR ; Allen, David ; Peiris, Shelton.
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  59. Generalized Birnbaum–Saunders kernel density estimators and an analysis of financial data. (2013). Marchant, Carolina ; Leiva, Victor ; Bertin, Karine ; Saulo, Helton.
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  60. A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series. (2013). Brownlees, Christian ; Brownlees Christian T., ; Marina, Vannucci .
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  63. Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes. (2012). Hautsch, Nikolaus ; Bodnar, Taras.
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  64. Local Adaptive Multiplicative Error Models for High-Frequency Forecasts. (2012). Mihoci, Andrija ; Härdle, Wolfgang ; Hautsch, Nikolaus ; Hardle, Wolfgang Karl.
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  65. Intraday dynamics of volatility and duration: Evidence from Chinese stocks. (2012). Maheu, John ; Liu, Chun.
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  66. Forecasting spikes in electricity prices. (2012). Hurn, Stan ; Christensen, T. M. ; Lindsay, K. A..
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  78. 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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  80. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
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  81. From Trade-to-Trade in US Treasuries. (2010). Henry, Ólan ; Dungey, Mardi.
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  82. Does Order Flow in the European Carbon Allowances Market Reveal Information?. (2010). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis .
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  83. Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility. (2010). Evans, Kevin P. ; Speight, Alan E. H., .
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  84. The Birnbaum–Saunders autoregressive conditional duration model. (2010). Bhatti, Chad R..
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  85. International macroeconomic announcements and intraday euro exchange rate volatility. (2010). Speight, Alan ; Evans, Kevin .
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  86. Dynamic news effects in high frequency Euro exchange rates. (2010). Evans, Kevin P. ; Speight, Alan E. H., .
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  87. Forecasting using high-frequency data: a comparison of asymmetric financial duration models. (2009). Cai, Charlie X ; Zhang, QI ; Keasey, Kevin.
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  88. Detrended fluctuation analysis of intertrade durations. (2009). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Chen, Wei.
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  89. 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.
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  90. On the interday homogeneity in the intraday rate of trading. (2009). Bhatti, Chad R..
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  91. Intraday trade and quote dynamics: A Cox regression analysis. (2009). Bhatti, Chad R..
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  92. Informed trading and liquidity in the Shanghai Stock Exchange. (2009). Wong, Woon ; Tan, Dijun ; Tian, Yixiang.
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  33. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:0202.

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  34. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

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  35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

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  36. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
    In: Working Papers.
    RePEc:fip:fedlwp:2001-009.

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  37. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2711.

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  38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

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  39. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-65.

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  40. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-42.

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  41. Risque de modèle de volatilité. (2001). Renault, Eric ; Alami, Ali .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-06.

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  42. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

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  43. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7488.

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  44. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0843.

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  45. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-19.

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  46. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-29.

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  47. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

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  48. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-061.

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  49. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-060.

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  50. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

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