C41 - Duration Analysis

Citations 1-3 of 3 total displayed.

Most recent content (1 Jun 2004):

Articles
Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data

Dingan Feng, George J. Jiang, and Peter X.-K. Song
J. Financial Econometrics 2004; 2: 390-421. [Abstract] [Full text] [PDF]  

Past content (since Jun 2003):

Articles
Trades and Quotes: A Bivariate Point Process

Robert F. Engle and Asger Lunde
J. Financial Econometrics 2003; 1: 159-188. [Abstract] [PDF]  

Articles
Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities

Nikolaus Hautsch
J. Financial Econometrics 2003; 1: 189-215. [Abstract] [PDF]