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References from Modeling the interdependence of volatility and inter-transaction duration processes. Local targets link to admitted publications; unresolved targets remain external evidence.
A theory of intraday patterns: volume and price variability
10.1093/rfs/1.1.3 · 1988 · External reference
Intraday periodicity and volatility persistence in financial markets
10.1016/s0927-5398(97)00004-2 · 1997 · External reference
GMM estimation of a stochastic volatility model: a Monte Carlo study
10.2307/1392446 · 1996 · External reference
Heteroskedasticity and autocorrelation consistent covariance matrix estimation
10.2307/2938229 · 1991 · External reference
A stopping rule for the computation of generalized method of moments estimators
10.2307/2171944 · 1997 · External reference
Consistent moment selection procedures for generalized method of moments estimation
10.1111/1468-0262.00036 · 1999 · External reference
An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator
10.2307/2951574 · 1992 · External reference
Efficient instrumental variables estimation of systems of implicit heterogeneous nonlinear dynamic equations with nonspherical errors
1988 · External reference
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Unresolved reference
1997 · External reference
10.1023/a:1004165218295
10.1023/a:1004165218295 · External reference
Unresolved reference
1966 · External reference
Constraints on short-selling and asset price adjustments to private information
10.1016/0304-405x(87)90042-0 · 1987 · External reference
Unresolved reference
1988 · External reference
Automating the price discovery process: some international comparisons and regulatory implications
10.1007/bf01046073 · 1992 · External reference
Temporal aggregation of GARCH processes
10.2307/2951767 · 1993 · External reference
Closing the GARCH gap: continuous time GARCH modeling
10.1016/0304-4076(95)01750-x · 1996 · External reference
10.1111/0022-1082.00297
10.1111/0022-1082.00297 · External reference
Order form and information in securities markets
10.2307/2328548 · 1991 · External reference
Time and the process of security price adjustment
10.2307/2329116 · 1992 · External reference
The econometrics of ultra high frequency data
10.1111/1468-0262.00091 · 2000 · External reference
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Unresolved reference
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Autoregressive conditional duration: a new model for irregularly spaced transaction data
10.2307/2999632 · 1998 · External reference
Stock return variances. The arrival of information and the reaction of traders
10.1016/0304-405x(86)90004-8 · 1986 · External reference
Unresolved reference
1987 · External reference
Which moments to match?
10.1017/s0266466600006976 · 1996 · External reference
GARCH for irregularly spaced financial data: the ACD-GARCH model
10.2202/1558-3708.1035 · 1998 · External reference
Non-monotonic hazard functions and the autoregressive conditional duration model
10.1111/1368-423x.00037 · 2000 · External reference
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Large sample properties of generalized method of moments estimators
10.2307/1912775 · 1982 · External reference
A method for calculating bounds on the asymptotic variance–covariance matrix of generalized method of moments estimators
10.1016/0304-4076(85)90138-1 · 1985 · External reference
10.2139/ssrn.182532
10.2139/ssrn.182532 · External reference
Spectra of some self-exciting and mutually exciting point processes
10.1093/biomet/58.1.83 · 1971 · External reference
Nearly efficient estimation of time series models with predetermined, but not exogenous, instruments
10.2307/1912158 · 1983 · External reference
10.1016/s0304-4076(99)00014-7
10.1016/s0304-4076(99)00014-7 · External reference
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Market microstructure: a survey
10.1016/s1386-4181(00)00007-0 · 2000 · External reference
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
10.2307/1913610 · 1987 · External reference
Unresolved reference
1995 · External reference
Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models
10.1016/0165-1765(91)90167-j · 1991 · External reference
Regular point processes and their detection
10.1109/tit.1972.1054897 · 1972 · External reference
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10.2139/ssrn.106528
10.2139/ssrn.106528 · External reference
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1986 · External reference
Another heteroskedasticity and autocorrelation consistent covariance matrix estimator
10.1016/0304-4076(95)01788-7 · 1997 · External reference
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