Long-Range Dependence, Fractal Processes, and Intra-Daily Data
暂无分享,去创建一个
Frank J. Fabozzi | Wei Sun | Svetlozar Zari Rachev | F. Fabozzi | Wei Sun | S. Rachev | Svetlozar Rachev
[1] Ashish Das,et al. Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns , 2001 .
[2] R. Engle,et al. Time and the Price Impact of a Trade , 1999 .
[3] Mingzhou Ding,et al. Processes with long-range correlations : theory and applications , 2003 .
[4] Maureen O'Hara,et al. Can transparent markets survive , 2000 .
[5] Joachim Grammig,et al. Non-monotonic hazard functions and the autoregressive conditional duration model , 2000 .
[6] Calyampudi Radhakrishna Rao,et al. Statistical methods in finance , 1996 .
[7] Jay F. Coughenour,et al. Liquidity Provision and the Organizational Form of NYSE Specialist Firms , 2002 .
[8] I. Mathur,et al. Analysis of intraday herding behavior among the sector ETFs , 2004 .
[9] Walter Willinger,et al. On the self-similar nature of Ethernet traffic , 1993, SIGCOMM '93.
[10] F. Longstaff,et al. Electricity Forward Prices: A High-Frequency Empirical Analysis , 2002 .
[11] T. Bollerslev,et al. Intraday periodicity and volatility persistence in financial markets , 1997 .
[12] Stephen L Taylor,et al. The incremental volatility information in one million foreign exchange quotations , 1997 .
[13] Eric Ghysels,et al. Stochastic volatility duration models , 2004 .
[14] Thomas H. McInish,et al. An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks , 1992 .
[15] Chris Kirby,et al. The Economic Value of Volatility Timing Using 'Realized' Volatility , 2001 .
[16] Francis X. Diebold,et al. Modeling and Forecasting Realized Volatility , 2001 .
[17] Tyler Shumway,et al. Is Sound Just Noise? , 1998 .
[18] Gilles Teyssière,et al. Long Memory in Economics , 2006 .
[19] Nicolas P. B. Bollen,et al. Modeling the bid/ask spread: measuring the inventory-holding premium ☆ , 2004 .
[20] Brandon Whitcher,et al. Differentiating intraday seasonalities through wavelet multi-scaling , 2001 .
[21] Joann Jasiak,et al. Persistence in Intertrade Durations , 1999 .
[22] M. Dacorogna,et al. Volatilities of different time resolutions — Analyzing the dynamics of market components , 1997 .
[23] Brian F. Smith,et al. Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects , 2001 .
[24] J. R. Wallis,et al. Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances , 1969 .
[25] M. Nielsen,et al. A Regime Switching Long Memory Model for Electricity Prices , 2006 .
[26] Walter Willinger,et al. A Bibliographical Guide to Self-Similar Traffic and Performance Modeling for Modern High-Speed Netwo , 1996 .
[27] Maureen O'Hara,et al. Market Microstructure Theory , 1995 .
[28] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[29] G. Franke,et al. Information diffusion in electronic and floor trading , 2000 .
[30] J. Lamperti. Semi-stable stochastic processes , 1962 .
[31] J. R. Wallis,et al. Computer Experiments with Fractional Gaussian Noises: Part 2, Rescaled Ranges and Spectra , 1969 .
[32] Andrea Beltratti,et al. Computing value at risk with high frequency data , 1999 .
[33] Pierre Giot,et al. Asymmetric ACD models: Introducing price information in ACD models , 2003 .
[34] Lawrence Kryzanowski,et al. Intraday Market Price Integration for Shares Cross-Listed Internationally , 2002, Journal of Financial and Quantitative Analysis.
[35] Robert A. Schwartz,et al. Equity markets in action : the fundamentals of liquidity, market structure & trading , 2004 .
[36] L. Bauwens,et al. The Logarithmic Acd Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks , 2000 .
[37] B. Bollen,et al. Estimating Daily Volatility in Financial Markets Utilizing Intraday Data , 2002 .
[38] 竹中 茂夫. G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance , 1996 .
[39] Svetlozar T. Rachev,et al. Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration , 2008 .
[40] Tao Wang,et al. Realized volatility in the futures markets , 2003 .
[41] Possible sample paths of self-similar α-stable processes , 1994 .
[42] Vladas Pipiras,et al. Estimation of the self-similarity parameter in linear fractional stable motion , 2002, Signal Process..
[43] J. Ord,et al. An Investigation of Transactions Data for NYSE Stocks , 1985 .
[44] Yacine Ait-Sahalia,et al. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise , 2003 .
[45] C. Sutcliffe,et al. High-frequency financial market data : sources, applications and market microstructure , 1999 .
[46] F. Diebold,et al. The Distribution of Realized Exchange Rate Volatility , 2000 .
[47] T. Higuchi. Approach to an irregular time series on the basis of the fractal theory , 1988 .
[48] Ronald W. Masulis,et al. Does Market Structure Affect the Immediacy of Stock Price Responses to News? , 2002, Journal of Financial and Quantitative Analysis.
[49] D. Surgailis,et al. A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate , 1990 .
[50] F. Diebold,et al. The distribution of realized stock return volatility , 2001 .
[51] Piotr Kokoszka,et al. Prediction of Long-Memory Time Series: A Tutorial Review , 2003 .
[52] F. Diebold,et al. Long Memory and Regime Switching , 2000 .
[53] A. Kolmogorov. Wienersche spiralen und einige andere interessante Kurven in Hilbertscen Raum, C. R. (doklady) , 1940 .
[54] J. Geweke,et al. THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS , 1983 .
[55] T. Bollerslev,et al. MODELING AND PRICING LONG- MEMORY IN STOCK MARKET VOLATILITY , 1996 .
[56] M. Magdalinos,et al. A reinterpretation of the tests of overidentifying restrictions , 1996 .
[57] L. Bauwens,et al. The stochastic conditional duration model: a latent variable model for the analysis of financial durations , 2004 .
[58] Murad S. Taqqu,et al. Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator , 1997 .
[59] Jiang Wang,et al. Trading and Returns under Periodic Market Closures , 2000 .
[60] P. Robinson. Efficient Tests of Nonstationary Hypotheses , 1994 .
[61] T. Bollerslev,et al. Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market , 2000 .
[62] A. Banerjee,et al. Modelling structural breaks, long memory and stock market volatility: an overview , 2005 .
[63] C. Peng,et al. Mosaic organization of DNA nucleotides. , 1994, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.
[64] Gideon Saar,et al. Lifting the Veil: An Analysis of Pre-Trade Transparency at the Nyse , 2003 .
[65] D. Easley,et al. Microstructure and asset pricing , 2003 .
[66] The Foreign Exchange Market: Empirical Studies With High-Frequency Data , 2000 .
[67] M. Martens. Forecasting daily exchange rate volatility using intraday returns , 2001 .
[68] P. Robinson,et al. Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression , 1991 .
[69] F. Breidt,et al. The detection and estimation of long memory in stochastic volatility , 1998 .
[70] H. Stoll,et al. Tick Size, Bid-Ask Spreads, and Market Structure , 2001, Journal of Financial and Quantitative Analysis.
[71] N. Shephard,et al. Econometric analysis of realized volatility and its use in estimating stochastic volatility models , 2002 .
[72] C. Granger,et al. Handbook of Economic Forecasting , 2006 .
[73] B. Mandelbrot. New Methods in Statistical Economics , 1963, Journal of Political Economy.
[74] Stephen Taylor,et al. Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns , 2000 .
[75] Murad S. Taqqu,et al. Theory and applications of long-range dependence , 2003 .
[76] E. Theissen. Price Discovery in Floor and Screen Trading Systems , 2002 .
[77] Jeffrey R. Russell,et al. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data , 1998 .
[78] R. Gencay,et al. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics , 2001 .
[79] Azer Bestavros,et al. Self-similarity in World Wide Web traffic: evidence and possible causes , 1996, SIGMETRICS '96.
[80] Stochastic Conditional Duration Models with , 2004 .
[81] Walter Willinger,et al. Self-similarity and heavy tails: structural modeling of network traffic , 1998 .
[82] A. Philippe,et al. Generators of long-range dependent processes: A survey , 2003 .
[83] R. Baillie,et al. Fractionally integrated generalized autoregressive conditional heteroskedasticity , 1996 .
[84] E. Sirri,et al. Order Submission Strategy and the Curious Case of Marketable Limit Orders , 2002, Journal of Financial and Quantitative Analysis.
[85] Prem C. Jain,et al. The Dependence between Hourly Prices and Trading Volume , 1988, Journal of Financial and Quantitative Analysis.
[87] M. Taqqu,et al. Simulation methods for linear fractional stable motion and farima using the fast fourier transform , 2004 .
[88] R. Baillie,et al. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES , 1991 .
[89] S. Mittnik,et al. The Volatility of Realized Volatility , 2005 .
[90] B. Mandelbrot. Limit Theorem on the Self-Normalized Range for Weakly and Strongly Dependent Process , 1975 .
[91] W. Wasserfallen,et al. The behavior of intra-daily exchange rates , 1985 .
[92] E. Hotchkiss,et al. The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis , 1999 .
[93] P. Robinson. Log-Periodogram Regression of Time Series with Long Range Dependence , 1995 .
[94] P. Robinson. Gaussian Semiparametric Estimation of Long Range Dependence , 1995 .
[95] Nikolaus Hautsch,et al. Volatility Estimation on the Basis of Price Intensities , 2001 .
[96] C. Goodhart,et al. High frequency data in financial markets: Issues and applications , 1997 .
[97] Ananth N. Madhavan,et al. Market Microstructure: A Survey , 2000 .
[98] Robert F. Engle,et al. The Econometrics of Ultra-High Frequency Data , 1996 .
[99] T. Bollerslev,et al. ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS* , 1998 .
[100] Ruey S. Tsay,et al. A nonlinear autoregressive conditional duration model with applications to financial transaction data , 2001 .
[101] Domenico Marinucci,et al. Alternative forms of fractional Brownian motion , 1998 .
[102] S. Rachev,et al. Stable Paretian Models in Finance , 2000 .
[103] S. Laurent,et al. Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models , 2001 .
[104] W. Willinger,et al. ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY , 1995 .
[105] Stoyan V. Stoyanov,et al. Numerical Methods for Stable Modeling in Financial Risk Management , 2004 .
[106] Dingan Feng,et al. Stochastic Conditional Duration Models with ''Leverage Effect'' for Financial Transaction Data , 2004 .
[107] P. Whittle. Hypothesis testing in time series analysis , 1954 .
[108] Orly Sade,et al. Measuring Stock Illiquidity: An Investigation of the Demand and Supply Schedules at the Tase , 2003 .
[109] Kee H. Chung,et al. Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks , 2001 .
[110] Eric Ghysels,et al. Some Econometric Recipes for High-Frequency Data Cooking , 2000 .
[111] Tim Bollerslev,et al. Trading Patterns and Prices in the Interbank Foreign Exchange Market , 1993 .
[112] Robert J. Bloomfield,et al. Market Transparency: Who Wins and Who Loses? , 1999 .
[113] Pierre Giot,et al. Market Models: A Guide to Financial Data Analysis , 2003 .
[114] Anja Feldmann,et al. The changing nature of network traffic: scaling phenomena , 1998, CCRV.
[115] M. Dacorogna,et al. Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis , 1990 .
[116] P. Robinson. Time Series with Long Memory , 2003 .
[117] Gennady Samorodnitsky,et al. Long strange segments of a stochastic process , 2001 .
[118] Luc Bauwens,et al. Département des Sciences Économiques de l'Université catholique de Louvain Modelling Financial High Frequency Data Using Point Processes , 2019 .
[119] P. Whittle,et al. Hypothesis-Testing in Time Series Analysis. , 1952 .
[120] Stephen L Taylor,et al. A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility , 2002 .
[121] H. Bessembinder,et al. Does an Electronic Stock Exchange Need an Upstairs Market? , 2002 .
[122] Gennady Samorodnitsky. Lower tails of self-similar stable processes , 1998 .
[123] Vern Paxson,et al. Fast, approximate synthesis of fractional Gaussian noise for generating self-similar network traffic , 1997, CCRV.
[124] Makoto Maejima,et al. On a class of self-similar processes , 1983 .
[125] Ruey S. Tsay,et al. Analysis of Financial Time Series , 2005 .
[126] Mark A. McComb. A Practical Guide to Heavy Tails , 2000, Technometrics.
[127] Chester Spatt,et al. Do Dealer Firms Manage Inventory on a Stock-by-stock or a Portfolio Basis? , 2002 .
[128] Ulrich A. Müller,et al. Operators on Inhomogeneous Time Series , 2000 .
[129] Zeng Zhen-yu. The Empirical Analysis of Long-term Memory in Stock Market , 2003 .
[130] Julia Brodsky,et al. Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models , 1998 .
[131] E. Hannan. The asymptotic theory of linear time-series models , 1973, Journal of Applied Probability.
[132] Jan Beran,et al. Statistics for long-memory processes , 1994 .
[133] Gennady Samorodnitsky,et al. Long strange segments of a stochastic process and long range dependence , 1999 .
[134] Richard T. Baillie,et al. Long memory processes and fractional integration in econometrics , 1996 .
[135] A. Lo. Long-Term Memory in Stock Market Prices , 1989 .
[136] Daniel F. Spulber. Market Microstructure: Intermediaries and the Theory of the Firm , 1999 .
[137] É. Moulines,et al. Convergence of a stochastic approximation version of the EM algorithm , 1999 .
[138] Michael G. Sher. Order Imbalance, Liquidity, and Market Returns , 2003 .
[139] S. Rachev,et al. Subordinated Stock Price Models: Heavy Tails and Long-Range Dependence in the High-frequency Deutsche Bank Price Record , 2000 .
[140] Tim Bollerslev,et al. Measuring and modeling systematic risk in factor pricing models using high-frequency data , 2003 .
[141] Electronic Communication Networks and Liquidity on the Nasdaq , 2002 .
[142] Walter Willinger,et al. Self-similarity through high-variability: statistical analysis of Ethernet LAN traffic at the source level , 1997, TNET.
[143] P. Robinson,et al. Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series , 2000 .
[144] Benoit B. Mandelbrot,et al. Fractal Geometry of Nature , 1984 .
[145] Andrea Beltratti,et al. Structural Change and Long Range Dependence in Volatility of Exchange Rates: Either, Neither or Both? , 2004 .
[146] Gennady Samorodnitsky,et al. Long strange segments in a long-range-dependent moving average☆ , 2001 .
[147] Joachim Grammig,et al. Nonparametric specification tests for conditional duration models , 2005 .
[148] W. Willinger,et al. A critical look at Lo's modified R/S statistic , 1999 .
[149] Grant R. Mcqueen,et al. The Effects of Inflation News on High Frequency Stock Returns , 1999 .
[150] J. Kmenta. Financial Econometrics: Problems, Models and Methods , 2002 .
[151] Anja Feldmann,et al. Data networks as cascades: investigating the multifractal nature of Internet WAN traffic , 1998, SIGCOMM '98.
[152] R. Gencay,et al. Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates , 1998 .
[153] R. Chou,et al. ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .
[154] Marc S. Paolella,et al. Stationarity of stable power-GARCH processes , 2002 .
[155] É. Moulines,et al. Broadband log-periodogram regression of time series with long-range dependence , 1999 .
[156] Pierre Giot,et al. Econometric Modelling of Stock Market Intraday Activity , 2001 .
[157] F. Diebold,et al. VOLATILITY AND CORRELATION FORECASTING , 2006 .
[158] M. Taqqu,et al. Stable Non-Gaussian Random Processes : Stochastic Models with Infinite Variance , 1995 .
[159] Gennady Samorodnitsky,et al. A Class of Shot Noise Models for Financial Applications , 1996 .
[160] H. E. Hurst,et al. Long-Term Storage Capacity of Reservoirs , 1951 .
[161] N. Shephard,et al. Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics , 2004 .
[162] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[163] Marc S. Paolella,et al. Mixed Normal Conditional Heteroskedasticity , 2004 .
[164] L. Oxley,et al. Estimators for Long Range Dependence: An Empirical Study , 2009, 0901.0762.
[165] Svetlozar T. Rachev,et al. An Ideal Metric and the Rate of Convergence to a Self-Similar Process , 1987 .