The Moments of Log-ACD Models-Reference-Cited by-同舟云学术

The Moments of Log-ACD Models

Published:2003 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bauwens Luc,Galli Fausto,Giot Pierre

Publisher

Elsevier BV

Reference13 articles.

1. The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks. Annales d'Economie et de Statistique, Special Issue;L Bauwens;Financial Market Microstructure,2000

2. The stochastic conditional duration model: a latent factor model for the analysis of financial durations;L Bauwens;Journal of Econometrics,1999

3. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation;R F Engle;Econometrica,1982

4. Autoregressive conditional duration: a new approach for irregularly spaced transaction data;R F Engle;Econometrica,1998

5. Stochastic volatility durations;E Ghysels;Journal of Econometrics,1997

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