Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
about
Impact of stock market structure on intertrade time and price dynamics.Case-cohort analysis of clusters of recurrent events.A semiparametric additive rate model for a modulated renewal process.Statistical analysis of the overnight and daytime return.Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach.Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial dataModeling and forecasting persistent financial durationsHigh-frequency trading model for a complex trading hierarchyCommon scaling patterns in intertrade times of U. S. stocksJoint Estimation Using Quadratic Estimating FunctionNonlinear Autoregressive Conditional Duration Models for Traffic Congestion EstimationA Trend-Switching Financial Time Series Model with Level-Duration DependenceMicrostructure Models with Short-Term Inertia and Stochastic VolatilityUltrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A SharesViews to a war: systematic differences in media and military reporting of the war in Iraq
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P2860
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
description
article
@en
wetenschappelijk artikel
@nl
наукова стаття, опублікована у вересні 1998
@uk
ലേഖനം
@ml
name
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
@en
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
@nl
type
label
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
@en
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
@nl
prefLabel
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
@en
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
@nl
P356
P1433
P1476
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
@en
P2093
Jeffrey R. Russell
Robert F. Engle
P356
10.2307/2999632
P577
1998-09-01T00:00:00Z