A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times

By Jeffrey R. Russell, Robert F. Engle. 2005

168 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7e9f4e49b094e5caf757fa2d18c2e87463c3da66

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Citations in the corpus

Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, background): “Russell and Engle (2005) estimate a five-state ACM(3, 3)–ACD(2, 2) model on data for the Airgas stock traded on NYSE.”
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007, unknown): “1 See, among others, Andersen and Bollerslev (1997), Dacorogna et al. (2001), Engle (2000), Russell and Engle (2005), and Rydberg and Shephard (2003).”
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (2010, unknown): “For more details, see Russell and Engle (2005).”
A General Framework for Observation Driven Time-Varying Parameter Models (2008, unknown): “Russell and Engle (2005) proposed modelling this behavior using a conditional multinomial distribution with time-varying probabilities in conjunction with their ACD model.”
Properties of Realized Variance Under Alternative Sampling Schemes (2006, methodology): “Empirical work by Engle (2000), Ghysels and Jasiak (1998), Grammig and Wellner (2002), and Russell and Engle (2005) has focused on investigating such a relation using extended versions of the seminal autoregressive conditional heteroscedasticity model of Engle (1982) and the autoregressive…”
Forecasting the direction of the US stock market with dynamic binary probit models (2011, background): “It is worth noting that the error correction model (8) is somewhat the same as the autoregressive conditional multinomial model (ACM) suggested by Russell and Engle (2005).”
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2013, methodology): “For St = I, the GAS model captures models such as the autoregressive conditional multinomial (ACM) model of Russell and Engle (2005) or the GARMA models of Benjamin, Rigby, and Stanispoulos (2003).”
Integer-valued Lévy processes and low latency financial econometrics (2012, methodology): “Related integer-valued econometric models include those discussed by, for example, Hausman et al. (1992), Hasbrouck (1999), Rydberg and Shephard (2003), Zeng (2003), Russell and Engle (2006), Phillips and Yu (2008), Rosenblaum (2009) and Hansen and Horel (2009).”