Econometric Modelling of Stock Market Intraday Activity

149 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, methodology): “…densities of different trade durations that have a hump at very small durations and a long right tail (see, for instance, Engle and Russell, 1998; Bauwens and Giot, 2001; Bauwens et al., 2004).25 This suggests that an exponential distribution is not appropriate for the unconditional distribution…”
Financial econometric analysis at ultra-high frequency: Data handling concerns (2006, background): “ Bauwens and Giot (2001) also provide an accurate description of the rules and procedures of the NYSE as well as other exchanges.”
The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2004, methodology): “24 More details can be found in Bauwens and Giot (2001). 25 These variables are time invariant, meaning that they remain constant within a distribution.”
Market risk models for intraday data (2005, background): “gif"/> are defined as the time needed to witness a given cumulative price change c p in the price of the asset (Bauwens and Giot, 2001 ; Engle and Russell, 1997 ).”