نتائج البحث

The Stochastic Conditional Duration Model: A Latent Factor Model For The Analysis Of Financial Durations

• Authors : Luc Bauwens; David Veredas; The Pennsylvania State University CiteSeerX Archives

Subjects: Duration; High frequency data; Market microstructure

• Source: http://www.core.ucl.ac.be/services/psfiles/dp9958.pdf.

تفاصيل العنوان

Non-parametric specification tests for conditional duration models

• Authors : Fernandes, Marcelo;

Subjects: Monte Carlo, Método de; Duration; Gamma kernel

• Source: Repositório Institucional do FGV (FGV Repositório Digital)Fundação Getulio Vargas (FGV)instacron:FGV

تفاصيل العنوان

The stochastic conditional duration model: a latent factor model for the analysis of financial durations

• Authors : Bauwens, Luc; Veredas, David; UCL - CORE - Center for Operations Research and Econometrics

Subjects: Duration; High frequency data; Market microstructure

تفاصيل العنوان

An empirical model for durations in stocks

• Authors : Ola Simonsen

Subjects: jel:C41; Autoregressive conditional duration; Mathematical finance

• Source: Annals of Finance. 3:241-255

تفاصيل العنوان

Duration time-series models with proportional hazard.

• Authors : Gagliardini, P.¹; Gourieroux, C.²

• Source: Journal of Time Series Analysis. Jan2008, Vol. 29 Issue 1, p74-124. 51p. 10 Graphs.

تفاصيل العنوان

A comparison of financial duration models via density forecasts

• Authors : Bauwens, Luc; Giot, Pierre; Grammig, Joachim ...

Subjects: Duration; High frequency data; Density forecast

تفاصيل العنوان

Bitcoin Price Risk—A Durations Perspective

• Authors : Thomas Dimpfl; Stefania Odelli

Subjects: bitcoin; duration; risk

• Source: Journal of Risk and Financial Management, Vol 13, Iss 157, p 157 (2020)

تفاصيل العنوان

Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market

• Authors : Mardi Dungey; Nagaratnam Jeyasreedharan; Tuo Li

Subjects: duration; high frequency data; electronic futures markets

تفاصيل العنوان

Asymmetric ACD models: introducing price information in ACD models with a two state transition model

• Authors : Bauwens, Luc; Giot, Pierre; UCL - CORE - Center for Operations Research and Econometrics

Subjects: Duration; High frequency data; Market microstructure

تفاصيل العنوان

An Empirical Study of the Mixture of Time and Movements in Prices

• Authors : Ben Sita, Bernard;

Subjects: mixture; garch; duration

تفاصيل العنوان