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2. Likelihood Evaluation of High-Dimensional Spatial Latent Gaussian Models with Non-Gaussian Response Variables. (2015). Richard, Jean-Franois.
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4. Stochastic Conditional Duration Models with Mixture Processes. (2013). Wirjanto, Tony ; Men, Zhongxian ; Kolkiewicz, Adam W..
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1. Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng.
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2. Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Samaranayake, V A ; Ratnayake, Isuru.
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3. Bellman filtering for state-space models. (2021). Lange, Rutger-Jan.
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4. Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V ; Gomez-Deniz, Emilio.
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5. Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng.
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6. Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng.
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7. Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2021). Lillo, Fabrizio ; di Gangi, Domenico ; Tantari, Daniele ; Campajola, Carlo.
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8. Goodness-of-fit tests in conditional duration models. (2020). Meintanis, Simos G ; Obradovi, Marko ; Miloevi, Bojana.
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9. Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Tsionas, Mike ; Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim.
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10. Point forecasting of intraday volume using Bayesian autoregressive conditional volume models. (2019). Huptas, Roman.
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11. Forecasting Observables with Particle Filters: Any Filter Will Do!. (2019). McCabe, Brendan ; Forbes, Catherine ; Leung, Patrick ; Martin, Gael M.
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12. Threshold Stochastic Conditional Duration Model for Financial Transaction Data. (2019). Men, Zhongxian ; Wirjanto, Tony S ; Kolkiewicz, Adam W.
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13. Modelling bimodality of length of tourist stay. (2019). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, J V ; Gomez-Deniz, E.
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14. A multifactor regime-switching model for inter-trade durations in the limit order market. (2019). Li, Zhicheng ; Chen, Xinyun ; Xing, Haipeng.
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15. Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Ekaputra, Irwan ; Husodo, Zaafri Ananto ; Purwono, Yogo.
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16. Varying kernel marginal density estimator for a positive time series. (2017). Balakrishna, N ; Koul, Hira L.
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17. Chasing volatility. (2017). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano.
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18. A MULTISCALE STOCHASTIC CONDITIONAL DURATION MODEL. (2016). Men, Zhongxian ; Wirjanto, Tony S ; Kolkiewicz, Adam W.
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19. Modelling volatility recurrence intervals in the Chinese commodity futures market. (2016). Wang, Zhengxin ; Zhou, Weijie ; Guo, Haiming .
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20. Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras.
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21. The logarithmic ACD model: The microstructure of the German and Polish stock markets. (2016). Gurgul, Henryk ; Syrek, Robert.
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22. Time-Deformation Modeling of Stock Returns Directed by Duration Processes. (2015). Wirjanto, Tony S. ; Peter X.-K. Song, ; Feng, Dingan .
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23. A Bayesian chi-squared test for hypothesis testing. (2015). Yu, Jun ; Li, Yong ; Liu, Xiao-Bin .
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24. Entropy test and residual empirical process for autoregressive conditional duration models. (2015). Lee, Sangyeol ; Oh, Haejune.
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25. 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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26. 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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27. 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 .
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28. A Markov-switching multifractal inter-trade duration model, with application to US equities. (2013). Schorfheide, Frank ; Diebold, Francis ; Chen, Fei.
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29. 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.
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30. A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach. (2012). Bień-Barkowska, Katarzyna.
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31. Product autoregressive models for non-negative variables. (2012). Balakrishna, N. ; Abraham, B..
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32. Intraday dynamics of volatility and duration: Evidence from Chinese stocks. (2012). Maheu, John ; Liu, Chun.
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33. Forecasting spikes in electricity prices. (2012). Hurn, Stan ; Christensen, T. M. ; Lindsay, K. A..
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34. The HESSIAN method: Highly efficient simulation smoothing, in a nutshell. (2012). McCausland, William.
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35. Modeling dynamic effects of promotion on interpurchase times. (2012). Paap, Richard ; Franses, Philip Hans ; Fok, Dennis.
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36. Time-varying autoregressive conditional duration model. (2010). BORTOLUZZO, ADRIANA ; Morettin, Pedro ; Toloi, Clelia.
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37. Nonparametric density estimation for positive time series. (2010). Rombouts, Jeroen ; Bouezmarni, Taoufik ; Rombouts, Jeroen V. K., .
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38. Detrended fluctuation analysis of intertrade durations. (2009). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Chen, Wei.
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39. Intraday trade and quote dynamics: A Cox regression analysis. (2009). Bhatti, Chad R..
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40. Efficient importance sampling for ML estimation of SCD models. (2009). Galli, Fausto ; Bauwens, Luc.
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41. Handbook on Information Technology in Finance. (2008). .
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42. Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Sun, Edward ; Fabozzi, Frank.
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43. Feasible parameter regions for alternative discrete state space models. (2008). Snyder, Ralph ; Martin, Gael ; Gould, Phillip ; Feigin, Paul D..
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44. Scaling in the distribution of intertrade durations of Chinese stocks. (2008). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Chen, Wei.
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45. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2008). Hautsch, Nikolaus.
    In: Journal of Economic Dynamics and Control.
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46. Parameterisation and efficient MCMC estimation of non-Gaussian state space models. (2008). Martin, Gael ; Forbes, Catherine ; Strickland, Chris M..
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47. Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market. (2007). Voev, Valeri ; Nolte, Ingmar.
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48. Econometric analysis of financial trade processes by discrete mixture duration models. (2007). Vuletic, Sandra ; Hujer, Reinhard.
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49. Bayesian analysis of the stochastic conditional duration model. (2006). Martin, Gael ; Forbes, Catherine ; Strickland, Chris M..
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50. Nonparametric specification tests for conditional duration models. (2005). Grammig, Joachim ; Fernandes, Marcelo.
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