1. A non parametric ACD model. (2014). Galli, Fausto ; Cosma, Antonio.
   In: MPRA Paper.
   RePEc:pra:mprapa:53990.

   Full description at Econpapers || Download paper

2. The Dyanamic Location/Scale Model: with applications to intra-day financial data. (2012). Harvey, Andrew ; Andres, Philipp.
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:1240.

   Full description at Econpapers || Download paper

3. Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model. (2011). GAO, Jiti ; Wongsaart, Pipat .
   In: Monash Econometrics and Business Statistics Working Papers.
   RePEc:msh:ebswps:2011-18.

   Full description at Econpapers || Download paper

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

   Full description at Econpapers || Download paper

5. 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

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

   Full description at Econpapers || Download paper

7. 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

8. 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

9. 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

10. Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading. (2007). Tse, Yiu Kuen ; Warachka, Mitch ; Ting, Christopher ; Tay, Anthony.
    In: Finance Working Papers.
    RePEc:eab:financ:22483.

    Full description at Econpapers || Download paper

11. The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy. (2007). Sol Murta, Fátima.
    In: Brussels Economic Review.
    RePEc:bxr:bxrceb:2013/80335.

    Full description at Econpapers || Download paper

12. 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

13. Scanning Multivariate Conditional Densities with Probability Integral Transforms. (2005). Ishida, Isao.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2005cf369.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

15. Nonparametric specification tests for conditional duration models. (2005). Grammig, Joachim ; Fernandes, Marcelo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:127:y:2005:i:1:p:35-68.

    Full description at Econpapers || Download paper

16. Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio. (2005). PETITJEAN, Mikael ; Giot, Pierre.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2005010.

    Full description at Econpapers || Download paper

17. Scanning Multivariate Conditional Densities with Probability Integral Transforms. (2005). Ishida, Isao.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf045.

    Full description at Econpapers || Download paper

18. 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

19. Trading intensity, volatility, and arbitrage activity. (2004). Taylor, Nick.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:5:p:1137-1162.

    Full description at Econpapers || Download paper

20. The stochastic conditional duration model: a latent variable model for the analysis of financial durations. (2004). Veredas, David ; Bauwens, Luc.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:119:y:2004:i:2:p:381-412.

    Full description at Econpapers || Download paper

21. 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

22. 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

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

    Full description at Econpapers || Download paper

24. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:502.

    Full description at Econpapers || Download paper

25. The information content of implied volatility indexes for forecasting volatility and market risk. (2003). Giot, Pierre.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2003027.

    Full description at Econpapers || Download paper

26. Modelling Intraday Trading Activity Using Box-Cox-ACD Models. (2002). Hautsch, Nikolaus.
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:0205.

    Full description at Econpapers || Download paper

27. Modeling the interdependence of volatility and inter-transaction duration processes. (2002). Grammig, Joachim ; Wellner, Marc.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:106:y:2002:i:2:p:369-400.

    Full description at Econpapers || Download paper

28. On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach.. (2001). Veredas, David ; Espasa, Antoni ; Rodriguez-Poo, Juan M..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws013321.

    Full description at Econpapers || Download paper

29. A family of autoregressive conditional duration models. (2001). Grammig, Joachim ; Fernandes, Marcelo.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2001036.

    Full description at Econpapers || Download paper

30. Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model. (2000). Hautsch, Nikolaus ; Gerhard, Frank.
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:0020.

    Full description at Econpapers || Download paper

31. Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO. (2000). Grammig, Joachim ; Kokot, Stefan ; Hujer, Reinhard.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:220:y:2000:i:6:p:689-714.

    Full description at Econpapers || Download paper

1. Bauwens, L. and Giot, P. (2000a). The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks. Forthcoming in Annales dEconomie et de Statistique.

2. Bauwens, L. and Giot, P. (2000b). The moments of first-order Log-ACD models.
   Paper not yet in RePEc: Add citation now
   

3. Bauwens, L. and Veredas, D. (1999). The stochastic conditional duration model: a latent factor model for the analysis of financial durations. CORE Discussion Paper 9958. Université catholique de Louvain, Louvain-La-Neuve.

4. Chen, S.X. (1998). Probability density function estimation using gamma kernels.

5. CREST Working Paper 9633, Paris. Forthcoming in Journal of Financial Markets. Grammig, J. and Maurer, K.-O. (1999). Non-monotonic hazard functions and the autoregressive conditional duration model. Discussion Paper 50, SFB 373, Humboldt University Berlin. Forthcoming in The Econometrics Journal.

6. Drost,F.C. and Werker, B.J.M. (2000). Efficient estimation in semiparametric time series: the ACD model. Mimeo. CentER, Tilburg University.

7. Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987-1007.

8. Engle, R.F. and Russell, J.R. (1998). Autoregressive conditional duration: a new approach for irregularly spaced transaction data. Econometrica 66, 1127-1162.

9. Forthcoming in Journal of Computational Finance. Ghysels, E., Gouriéroux, C., and Jasiak, J. (1997). Stochastic volatility duration models. Working Paper 9746. CREST, Paris.

10. Giot, P. (1999). Time transformations, intra-day data and volatility models.

11. Gouriéroux, C. and Jasiak, J.(1999). Dynamic Factor Models. CREST, Paris.
    Paper not yet in RePEc: Add citation now
    
12. Gouriéroux, C. and Monfort, A. (1996). Simulation-based Econometric Methods.
    Paper not yet in RePEc: Add citation now
    

13. Granger, C.W.J. and M.H. Pesaran (1996). A decision theoretic approach to forecast evaluation. Working Paper 9618. Department of Applied Economics, University of Cambridge.

14. Johnson, N.L., Kotz, S., and Balakrishnan, N. (1994). Distributions in Statistics: Continuous Univariate Distributions, Vol. 1 (2nd ed.). New York: John Wiley and Sons.
    Paper not yet in RePEc: Add citation now
    
15. Lancaster, T. (1990). The Econometric Analysis of Transition Data. Cambridge: Cambridge University Press.
    Paper not yet in RePEc: Add citation now
    

16. Manuscript. School of Statistical Science, La Trobe University. Diebold, F.X., Gunther, T.A., and Tay, A.S. (1998). Evaluating density forecasts, with applications to financial risk management. International Economic Review 39, 863-883.

17. Mimeo. CORE, Louvain-La-Neuve. Bauwens, L. and Giot, P. (2001). Econometric Modelling of Stock Market Intraday Activity. Forthcoming. Kluwer Academic Publishers.

18. OHara, M. (1995). Market Microstructure Theory. Oxford: Basil Blackwell.
    Paper not yet in RePEc: Add citation now
    

19. Oxford: Oxford University Press. Gouriéroux, C., Jasiak, J. and Le Fol, G. (1996). Intra-day market activity.

20. Rosenblatt, M. (1952). Remarks on a multivariate transformation. Annals of Mathematical Statistics 23, 470-472.
    Paper not yet in RePEc: Add citation now
    
21. Zhang, M.Y., Russell, J.R., and Tsay, R.T. (1999). A nonlinear autoregressive conditional duration model with applications to financial transaction data. Mimeo.
    Paper not yet in RePEc: Add citation now
    

1. Generalized duration models and optimal estimation using estimating functions. (2015). Liang, You ; Ravishanker, Nalini ; Thavaneswaran, Aerambamoorthy.
   In: Annals of the Institute of Statistical Mathematics.
   RePEc:spr:aistmt:v:67:y:2015:i:1:p:129-156.

   Full description at Econpapers || Download paper

2. A Jump-Diffusion Model with Stochastic Volatility and Durations. (2015). Wei, Wei ; Pelletier, Denis.
   In: CREATES Research Papers.
   RePEc:aah:create:2015-34.

   Full description at Econpapers || Download paper

3. Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation. (2014). Tse, Yiu-Kuen ; Dong, Yingjie.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:28:y:2014:i:c:p:352-361.

   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. A semiparametric conditional duration model. (2014). Ullah, Aman ; Wang, Yun ; Long, Xiangdong ; Dungey, Mardi.
   In: Economics Letters.
   RePEc:eee:ecolet:v:124:y:2014:i:3:p:362-366.

   Full description at Econpapers || Download paper

6. Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market. (2014). Herrera, Rodrigo ; Schipp, Bernhard.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:29:y:2014:i:c:p:218-238.

   Full description at Econpapers || Download paper

7. Nonparametric kernel density estimation near the boundary. (2014). Schienle, Melanie ; Malec, Peter.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:72:y:2014:i:c:p:57-76.

   Full description at Econpapers || Download paper

8. On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations. (2013). Feng, Yuanhua ; Forstinger, Sarah ; Peitz, Christian.
   In: Working Papers CIE.
   RePEc:pdn:ciepap:66.

   Full description at Econpapers || Download paper

9. High-Frequency Risk Measures. (2013). Tokpavi, Sessi ; Hurlin, Christophe ; BANULESCU-RADU, Denisa ; Colletaz, Gilbert.
   In: Working Papers.
   RePEc:hal:wpaper:halshs-00859456.

   Full description at Econpapers || Download paper

10. A (semi-)parametric functional coefficient autoregressive conditional duration model. (2013). Medeiros, Marcelo ; Fernandes, Marcelo ; Veiga, Alvaro.
    In: Textos para discussão.
    RePEc:fgv:eesptd:343.

    Full description at Econpapers || Download paper

11. Trading patterns in the European carbon market: The role of trading intensity and OTC transactions. (2013). Kalaitzoglou, Iordanis ; Ibrahim, Boulis Maher.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:4:p:402-416.

    Full description at Econpapers || Download paper

12. Autoregressive conditional duration as a model for financial market crashes prediction. (2013). Pyrlik, Vladimir.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:23:p:6041-6051.

    Full description at Econpapers || Download paper

13. Energy risk management through self-exciting marked point process. (2013). Herrera, Rodrigo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:38:y:2013:i:c:p:64-76.

    Full description at Econpapers || Download paper

14. GARCH models without positivity constraints: Exponential or log GARCH?. (2013). Zakoian, Jean-Michel ; Wintenberger, Olivier ; Francq, Christian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:1:p:34-46.

    Full description at Econpapers || Download paper

15. 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

16. Estimating and simulating Weibull models of risk or price durations: An application to ACD models. (2013). NG, KOK HAUR ; Allen, David ; Peiris, Shelton.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:214-225.

    Full description at Econpapers || Download paper

17. Nonparametric Kernel Density Estimation Near the Boundary. (2012). Schienle, Melanie ; Malec, Peter.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2012-047.

    Full description at Econpapers || Download paper

18. 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

19. Forecasting spikes in electricity prices. (2012). Hurn, Stan ; Christensen, T. M. ; Lindsay, K. A..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:2:p:400-411.

    Full description at Econpapers || Download paper

20. An analysis of intraday market behaviour before takeover announcements. (2012). Souza, Reinaldo Castro ; Stevenson, Maxwell J. ; Rodrigues, Bruno Dore .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:21:y:2012:i:c:p:23-32.

    Full description at Econpapers || Download paper

21. Optimal Predictions of Powers of Conditionally Heteroskedastic Processes. (2012). Zakoian, Jean-Michel ; Francq, Christian.
    In: Working Papers.
    RePEc:crs:wpaper:2012-17.

    Full description at Econpapers || Download paper

22. The Dyanamic Location/Scale Model: with applications to intra-day financial data. (2012). Harvey, Andrew ; Andres, Philipp.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1240.

    Full description at Econpapers || Download paper

23. 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

24. Extreme value models in a conditional duration intensity framework. (2011). Herrera, Rodrigo ; Schipp, Bernhard.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2011-022.

    Full description at Econpapers || Download paper

25. 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

26. 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

27. From Trade-to-Trade in US Treasuries. (2010). Henry, Ólan.
    In: Working Papers.
    RePEc:tas:wpaper:10446.

    Full description at Econpapers || Download paper

28. With or without you: market quality of floor trading when screen trading closes early. (2010). Schiereck, Dirk ; Voigt, Christian.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:34:y:2010:i:2:p:179-197.

    Full description at Econpapers || Download paper

29. 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

30. 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.

    Full description at Econpapers || Download paper

31. The impact of hidden liquidity in limit order books. (2008). Frey, Stefan ; Sands, Patrik.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200848.

    Full description at Econpapers || Download paper

32. Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown. (2008). Silvapulle, Mervyn J. ; Ranasinghe, Kulan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2008-5.

    Full description at Econpapers || Download paper

33. Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown. (2008). Silvapulle, Mervyn J. ; Ranasinghe, Kulan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2008-1.

    Full description at Econpapers || Download paper

34. Scaling in the distribution of intertrade durations of Chinese stocks. (2008). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Chen, Wei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:23:p:5818-5825.

    Full description at Econpapers || Download paper

35. 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

36. A (semi-)parametric functional coefficient autoregressive conditional duration model. (2006). Medeiros, Marcelo ; Fernandes, Marcelo ; Veiga, Alvaro.
    In: Textos para discussão.
    RePEc:rio:texdis:535.

    Full description at Econpapers || Download paper

37. Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2006). Gallo, Giampiero ; De Luca, Giovanni.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2006_12.

    Full description at Econpapers || Download paper

38. 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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

40. Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR. (2004). Morimoto, Takayki.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:592.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

42. 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

43. A family of autoregressive conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:501.

    Full description at Econpapers || Download paper

44. Bounds for the probability distribution function of the linear ACD process. (2003). Fernandes, Marcelo.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:488.

    Full description at Econpapers || Download paper

45. Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News. (2002). van soest, arthur ; Nijman, Theo ; van Soest, A. H. O., ; Spierdijk, L..
    In: Discussion Paper.
    RePEc:tiu:tiucen:2d40059c-bb27-40ee-b214-ae3e2ade8162.

    Full description at Econpapers || Download paper

46. A family of autoregressive conditional duration models. (2002). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:440.

    Full description at Econpapers || Download paper

47. A Comparison of Financial Duration Models via Density Forecasts. (2000). Veredas, David ; Grammig, Joachim ; Giot, Pierre ; Bauwens, Luc.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0810.

    Full description at Econpapers || Download paper

48. Durations, Volume and the Prediction of Financial Returns in Transaction Time. (2000). Hafner, Christian.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0599.

    Full description at Econpapers || Download paper

49. A comparison of financial duration models via density forecasts. (2000). Veredas, David ; Grammig, Joachim ; Giot, Pierre ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2000060.

    Full description at Econpapers || Download paper

50. The stochastic conditional duration model: a latent factor model for the analysis of financial durations. (1999). Veredas, David ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:1999058.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 15:07:55 || Missing content? Let us know