Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, vol. 15(2), pages 211-245, February.
- Lee, Sang-Won & Hansen, Bruce E., 1994. "Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 10(1), pages 29-52, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Iordanis Kalaitzoglou & Boulis Maher Ibrahim, 2010. "Does Order Flow in the European Carbon Allowances Market Reveal Information?," CFI Discussion Papers 1003, Centre for Finance and Investment, Heriot Watt University.
- Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
- Kalaitzoglou, Iordanis & Ibrahim, Boulis M., 2013. "Does order flow in the European Carbon Futures Market reveal information?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 604-635.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Naimoli, Antonio & Storti, Giuseppe, 2019.
"Heterogeneous component multiplicative error models for forecasting trading volumes,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1332-1355.
- Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," MPRA Paper 93802, University Library of Munich, Germany.
- LINTON, Olivier & PERRON, Benoît, 1999.
"The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model,"
Cahiers de recherche
9911, Universite de Montreal, Departement de sciences economiques.
- Benoit Perron & Oliver Linton, 2004. "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers dp514, Financial Markets Group.
- Linton, Oliver & Perron, Benoit, 2000. "The shape of the risk premium: evidence from a semiparametric GARCH model," LSE Research Online Documents on Economics 24769, London School of Economics and Political Science, LSE Library.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
- repec:wyi:journl:002099 is not listed on IDEAS
- Park, Sung Y. & Bera, Anil K., 2009. "Maximum entropy autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 150(2), pages 219-230, June.
- Gerhard, Frank & Hautsch, Nikolaus, 2000. "Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model," CoFE Discussion Papers 00/20, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Chang, Chia-Lin, 2015.
"Modelling a latent daily Tourism Financial Conditions Index,"
International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
- Chang, Chia-Lin, 2014. "Modelling a Latent Daily Tourism Financial Conditions Index," MPRA Paper 54887, University Library of Munich, Germany.
- Barnett, William A. & Serletis, Apostolos, 2008.
"Consumer preferences and demand systems,"
Journal of Econometrics, Elsevier, vol. 147(2), pages 210-224, December.
- William Barnett & Apostolos Serletis, 2008. "Consumer preferences and demand systems," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200801, University of Kansas, Department of Economics, revised Jan 2008.
- Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," MPRA Paper 8413, University Library of Munich, Germany.
- Marco Gallegati, 2019. "A system for dating long wave phases in economic development," Journal of Evolutionary Economics, Springer, vol. 29(3), pages 803-822, July.
- Yue-Jun Zhang & Han Zhang, 2023. "Volatility Forecasting of Crude Oil Market: Which Structural Change Based GARCH Models have Better Performance?," The Energy Journal, , vol. 44(1), pages 175-194, January.
- Kari Harju & Syed Mujahid Hussain, 2011. "Intraday Seasonalities and Macroeconomic News Announcements," European Financial Management, European Financial Management Association, vol. 17(2), pages 367-390, March.
- Mohsen Bahmani-Oskooee & Tsangyao Chang & Zahra (Mila) Elmi & Omid Ranjbar, 2018. "Re-testing Prebisch–Singer hypothesis: new evidence using Fourier quantile unit root test," Applied Economics, Taylor & Francis Journals, vol. 50(4), pages 441-454, January.
- Barnett, William A. & Serletis, Apostolos, 2008.
"The Differential Approach to Demand Analysis and the Rotterdam Model,"
MPRA Paper
12319, University Library of Munich, Germany.
- William Barnett & Apostolos Serletis, 2009. "The Differential Approach to Demand Analysis and the Rotterdam Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200902, University of Kansas, Department of Economics, revised Jan 2009.
- Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010.
"Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets,"
Energy Economics, Elsevier, vol. 32(6), pages 1445-1455, November.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics 10/19, University of Canterbury, Department of Economics and Finance.
- Williams, Jonathan, 2004. "Determining management behaviour in European banking," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2427-2460, October.
- Fleissig, Adrian & Swofford, James L., 1996. "A dynamic asymptotically ideal model of money demand," Journal of Monetary Economics, Elsevier, vol. 37(2-3), pages 371-380, April.
- Ardia, David & Hoogerheide, Lennart F., 2010.
"Efficient Bayesian estimation and combination of GARCH-type models,"
MPRA Paper
22919, University Library of Munich, Germany.
- David Ardia & Lennart F. Hoogerheide, 2010. "Efficient Bayesian Estimation and Combination of GARCH-Type Models," Tinbergen Institute Discussion Papers 10-046/4, Tinbergen Institute.
- Leora Friedberg & Steven Stern, 2014.
"Marriage, Divorce, And Asymmetric Information,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(4), pages 1155-1199, November.
- Steven Stern & Leora Friedberg, 2010. "Marriage, Divorce, and Asymmetric Information," Virginia Economics Online Papers 385, University of Virginia, Department of Economics.
- Zhenkai Yang & Mei-Chih Wang & Tsangyao Chang & Wing-Keung Wong & Fangjhy Li, 2022. "Which Factors Determine CO 2 Emissions in China? Trade Openness, Financial Development, Coal Consumption, Economic Growth or Urbanization: Quantile Granger Causality Test," Energies, MDPI, vol. 15(7), pages 1-18, March.
- Harry-Paul Vander Elst, 2015.
"FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility,"
Working Papers ECARES
ECARES 2015-12, ULB -- Universite Libre de Bruxelles.
- Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
- Tue Gørgens & Allan Würtz, 2012.
"Testing a parametric function against a non‐parametric alternative in IV and GMM settings,"
Econometrics Journal, Royal Economic Society, vol. 15(3), pages 462-489, October.
- Tue Gørgens & Allan Würtz, 2009. "Testing a parametric function against a nonparametric alternative in IV and GMM settings," CREATES Research Papers 2009-54, Department of Economics and Business Economics, Aarhus University.
- Gørgens, Tue & Würtz, Allan, 2010. "Testing a Parametric Function Against a Nonparametric Alternative in IV and GMM Settings," CEI Working Paper Series 2010-9, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:wc2000:1082. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/essssea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.