Forecasting trade durations via ACD models with mixture distributions
Author:
Affiliation:
1. Central Bank of Sri Lanka, Colombo, Sri Lanka
2. School of Mathematics and Statistics, The University of Sydney, Sydney, Australia
3. Discipline of Business Analytics, The University of Sydney, Sydney, Australia
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1618896
Reference37 articles.
1. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
2. Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
3. Asymmetric ACD models: Introducing price information in ACD models
4. A comparison of financial duration models via density forecasts
5. The case for objective Bayesian analysis
Cited by 9 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Modeling high-frequency financial data using R and Stan: A bayesian autoregressive conditional duration approach;Journal of Open Innovation: Technology, Market, and Complexity;2024-06
2. A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market;Economic Modelling;2023-01
3. Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data;Journal of Risk;2023
4. Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution;Mathematics;2022-05-10
5. Autoregressive conditional duration models for high frequency financial data: an empirical study on mid cap exchange traded funds;Studies in Economics and Finance;2021-10-20
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3