A family of autoregressive conditional duration models
- 1 January 2006
- journal article
- research article
- Published by Elsevier in Journal of Econometrics
- Vol. 130 (1) , 1-23
- https://doi.org/10.1016/j.jeconom.2004.08.016
Abstract
No abstract availableKeywords
All Related Versions
This publication has 16 references indexed in Scilit:
- Nonparametric specification tests for conditional duration modelsJournal of Econometrics, 2005
- The stochastic conditional duration model: a latent variable model for the analysis of financial durationsJournal of Econometrics, 2004
- Stochastic volatility duration modelsJournal of Econometrics, 2004
- MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELSEconometric Theory, 2002
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELSEconometric Theory, 2002
- Time transformations, intraday data, and volatility modelsJournal of Computational Finance, 2000
- The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE StocksAnnales D'economie Et de Statistique, 2000
- Properties of moments of a family of GARCH processesJournal of Econometrics, 1999
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction DataEconometrica, 1998
- Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration modelJournal of Empirical Finance, 1997