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- Luc Bauwens, David Veredas
- 1999
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… (More)
- Luc Bauwens, Pierre Giot, Joachim GRAMMIG, David Veredas
- 2000
Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. Our model portfolio encompasses the… (More)
This article deals with the estimation of the parameters of an α-stable distribution by the indirect inference method with the skewed-t distribution as an auxiliary model. The latter distribution… (More)
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… (More)
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… (More)
Many indicators (OECD 1994) show that the Italian labour market is characterised by a strong pro-workers and pro-unions legislation. This is usually interpreted as a high degree of rigidity. It is… (More)
A component model for the analysis of financial durations is proposed. The components are the long-run dynamics and the seasonality. The later is left unspecified and the former is assumed to fall… (More)
Classical estimation techniques for linear models either are inconsistent, or perform rather poorly, under αstable error densities; most of them are not even rate-optimal. In this paper, we propose… (More)
- Juan J. Dolado, Juan M. Rodríguez-Póo, David Veredas
- 2004
In this article, we propose two tests for weak exogeneity that are robust against distributional misspecification within the context of financial point processes. Under standard quasi-likelihood… (More)
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are… (More)