Intraday trade and quote dynamics: A Cox regression analysis
暂无分享,去创建一个
[1] L. Bauwens,et al. The Logarithmic Acd Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks , 2000 .
[2] H. Demsetz,et al. The Cost of Transacting , 1968 .
[3] Ruey S. Tsay,et al. A nonlinear autoregressive conditional duration model with applications to financial transaction data , 2001 .
[4] C. Gouriéroux,et al. Duration time‐series models with proportional hazard , 2007 .
[5] Joachim Grammig,et al. Non-monotonic hazard functions and the autoregressive conditional duration model , 2000 .
[6] A smooth transition autoregressive conditional duration model , 2007 .
[7] Peter A. W. Lewis,et al. Stochastic point processes : statistical analysis, theory, and applications , 1973 .
[8] P. Grambsch,et al. A Package for Survival Analysis in S , 1994 .
[9] Trades and Quotes: A Bivariate Point Process , 1998 .
[10] A Dynamic Semiparametric Proportional Hazard Model , 2006 .
[11] Maureen O'Hara,et al. PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS* , 1987 .
[12] L. Bauwens,et al. The stochastic conditional duration model: a latent variable model for the analysis of financial durations , 2004 .
[13] Maureen O'Hara,et al. Time and the Process of Security Price Adjustment , 1992 .
[14] Giovanni De Luca,et al. Regime-switching Pareto distributions for ACD models , 2006, Comput. Stat. Data Anal..
[15] Jeffrey R. Russell,et al. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data , 1998 .
[16] Maureen O'Hara,et al. Market Microstructure Theory , 1995 .
[17] Clara Vega,et al. Market Microstructure , 2009, Encyclopedia of Complexity and Systems Science.
[18] Asger Lunde,et al. A Generalized Gamma Autoregressive Conditional Duration Model , 1999 .
[19] Michael McAleer,et al. Asymptotic and Finite Sample Properties of the QMLE for the Log-ACD Model: Application to Australian Stocks* , 2007 .
[20] Joann Jasiak,et al. Persistence in Intertrade Durations , 1999 .
[21] Chad R. Bhatti,et al. The Birnbaum-Saunders autoregressive conditional duration model , 2010, Math. Comput. Simul..
[22] Charles M. C. Lee,et al. Inferring Trade Direction from Intraday Data , 1991 .
[23] Joachim Grammig,et al. A family of autoregressive conditional duration models , 2006 .
[24] P. McCullagh,et al. Generalized Linear Models , 1984 .