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The stochastic conditional duration model: a latent variable model for the analysis of financial durations
A new model for the analysis of durations, the stochastic conditional duration (SCD) model, is introduced. This model is based of the assumption that the durations are generated by a latentExpand
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A Comparison of Financial Duration Models Via Density Forecast
TLDR
Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. Expand
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The Stochastic Conditional Duration Model: A Latent Factor Model for the Analysis of Financial Durations
A new model for the analysis of durations, the stochastic conditional duration (SCD) model, is introduced. This model is based of the assumption that the durations are generated by a latentExpand
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Temporal Aggregation of Univariate and Multivariate Time Series Models: A Survey
TLDR
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail, although intuitively, the technical machinery behind the results. Expand
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Estimation of Stable Distributions by Indirect Inference
This article deals with the estimation of the parameters of an -stable distribution by the indirect inference method with the skewed-t distribution as an auxiliary model. The latter distributionExpand
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The Method of Simulated Quantiles
We introduce an inference method based on quantiles matching, which is useful for situations where the density function does not have a closed form –but it is simple to simulate– and/or moments doExpand
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What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders
In this paper, we extend the existing empirical evidence on the relationship between the state of the limit order book (LOB) and order choice. Our contribution is twofold: first, we propose aExpand
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What pieces of limit order book information are informative
This paper studies the importance of different pieces of limit order book information in characterizing order aggressiveness and the timing of trades, order submissions and cancellations. Using limitExpand
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Market liquidity as dynamic factors
We study market liquidity via daily close relative spreads and daily traded volumes in a sample of 426 S&P500 constituents recorded over the years 2004-2006, a period of “normal” liquidityExpand
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Macroeconomic surprises and short-term behaviour in bond futures
This paper analyses the effect of macroeconomic news on the price of the ten year Treasure bond future. We consider 15 fundamentals and we analyse the effect of their forecasting errors conditionalExpand
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