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

This publication has 21 references indexed in Scilit:

• Asymmetric ACD models: Introducing price information in ACD models
  Empirical Economics, 2003
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
  Econometric Theory, 2002
• Kendall's tau for serial dependence
  The Canadian Journal of Statistics / La Revue Canadienne de Statistique, 2000
• The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
  Annales D'economie Et de Statistique, 2000
• The Econometrics of Ultra-high-frequency Data
  Econometrica, 2000
• Beta kernel estimators for density functions
  Computational Statistics & Data Analysis, 1999
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
  Econometrica, 1998
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
  Biometrika, 1997
• Time and the Process of Security Price Adjustment
  The Journal of Finance, 1992
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
  Econometrica, 1973