A micro‐to‐macro approach to returns, volumes and waiting times-Reference-Cited by-同舟云学术

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A micro‐to‐macro approach to returns, volumes and waiting times

Published:2021-05-06 Issue:4 Volume:37 Page:767-789
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

D'Amico Guglielmo¹,Petroni Filippo²^ORCID

Affiliation:

1. Department of Pharmacy Università ‘G. d'Annunzio' di Chieti‐Pescara Italy

2. Department of Management Università Politecnica delle Marche Ancona Italy

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2622

Reference53 articles.

1. Generalized autoregressive conditional heteroskedasticity

2. The Econometrics of Ultra-high-frequency Data

3. CONDITIONAL DURATION MODELS FOR HIGH-FREQUENCY DATA: A REVIEW ON RECENT DEVELOPMENTS

4. The Dependence between Hourly Prices and Trading Volume

5. Duration, volume and volatility impact of trades

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1. Drawdown-based risk indicators for high-frequency financial volumes;Financial Innovation;2024-02-22

2. Analysis and Forecasting of the Load of Parcel Pick-Up Points: Contribution of C2c E-Commerce;2024

3. Weighted-indexed semi-Markov model: calibration and application to financial modeling;Financial Innovation;2023-01-15

4. A Semi-Markov Approach to Financial Modelling During the COVID-19 Pandemic;Contributions to Statistics;2023

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