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- Publications
- Influence
The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- L. Bauwens, David Veredas
- Mathematics
- 1 April 2004
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 latent… Expand
A Comparison of Financial Duration Models Via Density Forecast
- L. Bauwens, J. Grammig, David Veredas, P. Giot
- Computer Science, Economics
- 1 October 2004
TLDR
The Stochastic Conditional Duration Model: A Latent Factor Model for the Analysis of Financial Durations
- L. Bauwens, David Veredas
- Mathematics
- 2004
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 latent… Expand
Temporal Aggregation of Univariate and Multivariate Time Series Models: A Survey
- A. Silvestrini, David Veredas
- Economics, Computer Science
- 1 July 2008
TLDR
Estimation of Stable Distributions by Indirect Inference
- R. Garcia, Eric Renault, David Veredas
- Mathematics
- 1 April 2011
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 distribution… Expand
The Method of Simulated Quantiles
- Yves Dominicy, David Veredas
- Mathematics
- 1 February 2013
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 do… Expand
What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders
- R. Pascual, David Veredas
- Economics
- 18 June 2009
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 a… Expand
What pieces of limit order book information are informative
- R. Pascual, David Veredas
- Engineering
- 1 June 2004
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 limit… Expand
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Market liquidity as dynamic factors
- M. Hallin, Charles Mathias, H. Pirotte, David Veredas
- Economics
- 1 July 2011
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” liquidity… Expand
Macroeconomic surprises and short-term behaviour in bond futures
- David Veredas
- Economics
- 2006
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 conditional… Expand