[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation. (2008). André A. Monteiro, .
In: Tinbergen Institute Discussion Papers.
RePEc:tin:wpaper:20080021.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 23

References cited by this document

Cocites: 49

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Andersen, P.K., Borgan, Ø., Gill, R.D., and N. Keiding, (1993): Statistical models based on counting processes. Springer-Verlag, New York.
    Paper not yet in RePEc: Add citation now

  2. Bauwens, L. and N. Hautsch (2006): “Stochastic conditional intensity processes,” Journal of Financial Econometrics 4, No. 3, pp. 450-493.

  3. Bauwens, L., and D. Veredas, (2004): “The stochastic conditional duration model: a latent factor model for the analysis of financial durations,” Journal of Econometrics 119, No. 2, pp. 381-412.

  4. Bowsher, C. G. (2007): “Modelling security market events in continuous time: intensity based, multivariate point process models,”Journal of Econometrics 141, pp. 876-912.

  5. Brockwell, P.J. and Davis, R.A., (1991): Time Series: Theory and Methods. SpringerVerlag, New York.
    Paper not yet in RePEc: Add citation now
  6. Brown, T.C. and Nair, M.G. (1988): “A simple proof of the multivariate time change theorem for point processes,”Journal of Applied Probability 25, pp. 210-214.
    Paper not yet in RePEc: Add citation now
  7. Cox, D.R. (1962): Renewal Theory, Methuen and Co. Ltd.
    Paper not yet in RePEc: Add citation now
  8. Davis, R.A. and G.R. Yam, (2005): “Estimation for state-space models: an approximate likelihood approach,”Statistica Sinica 15, pp. 381-406.
    Paper not yet in RePEc: Add citation now
  9. Duffie, D., A. Eckner, G. Horel, and L. Saita (2006): “Frailty correlated default,” Working paper - Stanford University.
    Paper not yet in RePEc: Add citation now

  10. Duffie, D., L. Saita, and K. Wang (2007): “Multi-period corporate default prediction with stochastic covariates,” Journal of Financial Economics, 83, pp. 635-665.

  11. Durbin, J. and S.J. Koopman, (1997): “Monte Carlo maximum likelihood estimation for non-Gaussian state space models,” Biometrika 84, pp. 669-684.
    Paper not yet in RePEc: Add citation now

  12. Durbin, J. and S.J. Koopman, (2001): Time Series Analysis by State Space Methods. Oxford University Press, Oxford.

  13. Durbin, J. and S.J. Koopman, (2002): “A simple and efficient simulation smoother for state space time series models,” Biometrika 89, pp. 603-616.

  14. Engle, R.F. and J.R. Russell, (1998): “Autoregressive conditional duration: a new model for irregularly spaced transaction data,” Econometrica 66, No. 5, pp. 1127-1162.

  15. Glynn, P.W. (1988): “A GSMP formalism for discrete-event systems,” Proceedings of the IEEE 77, pp. 14-23.
    Paper not yet in RePEc: Add citation now
  16. Harvey, A.C. (1989): Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now

  17. Hasbrouck, J. (1991): “Measuring the information content of stock trades,” The Journal of Finance, 46, No. 1 pp. 179-207.

  18. Kavvathas, D. (2001): “Estimating credit rating transition probabilities for corporate bonds,” Working Paper - University of Chicago Koopman, S.J., Lucas, A. and A.A. Monteiro (2008): “The multi-state latent factor intensity model for credit rating transitions,” Journal of Econometrics 142 No. 1, pp. 405-430.

  19. Koopman S.J., R. Kraeussl, A. Lucas, and A.A. Monteiro, (2006): “ Credit cycles and macro fundamentals,” CFS Working Paper Nr. 2006/33 University of Frankfurt.

  20. Lando, D. and T.M. Skødeberg (2002): “Analyzing rating transitions and rating drift with continuous observations,” Journal of Banking and Finance, 6, pp. 423-444.

  21. Liesenfeld, R. & J.F. Richard (2003): “Univariate and multivariate stochastic volatility models: estimation and diagnostics,” Journal of Empirical Finance 10, pp. 505-531.

  22. Richard, J-F. and W. Zhang. (2007): “Efficient high-dimensional importance sampling,” Journal of Econometrics, 141, pp. 1385-1411.

  23. Russell, J.R. (1999): “Econometric modelling of multivariate irregularly spaced highfrequency data,” Working Paper - University of Chicago. 0.0 2.5 5.0 7.5 10.0 12.5 15.0 17.5 20.0 22.5 25.0 27.5 30.0 −4 −3 −2 −1 Smoothed Psi Lower 95%CB Upper 95%CB True Psi
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Volatility models versus intensity models: analogy and differences. (2024). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim.
    In: MPRA Paper.
    RePEc:pra:mprapa:122528.

    Full description at Econpapers || Download paper

  2. Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Zhang, Xuan ; Kim, Minjoo ; Yan, Cheng.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

    Full description at Econpapers || Download paper

  3. Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

    Full description at Econpapers || Download paper

  4. Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Basu, Sumanta ; Ravishanker, Nalini ; Karpman, Kara ; Dutta, Chiranjit.
    In: Sankhya B: The Indian Journal of Statistics.
    RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

    Full description at Econpapers || Download paper

  5. The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz.
    In: EKOIST Journal of Econometrics and Statistics.
    RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126.

    Full description at Econpapers || Download paper

  6. High-Frequency Quote Volatility Measurement Using a Change-Point Intensity Model. (2022). Li, Zhicheng ; Xing, Haipeng.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:4:p:634-:d:752532.

    Full description at Econpapers || Download paper

  7. Bellman filtering for state-space models. (2021). Lange, Rutger-Jan.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20200052.

    Full description at Econpapers || Download paper

  8. Financialization of agricultural commodities: Evidence from China. (2020). Zhang, Xuan ; Ouyang, Ruolan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

    Full description at Econpapers || Download paper

  9. Integer-valued stochastic volatility. (2019). Dimitrakopoulos, Stefanos ; Touche, Nassim ; Aknouche, Abdelhakim.
    In: MPRA Paper.
    RePEc:pra:mprapa:91962.

    Full description at Econpapers || Download paper

  10. Does a bank levy increase frictions on the interbank market?. (2018). Mielus, Piotr ; Snarska, Malgorzata ; Skorulska, Karolina ; Hryckiewicz, Aneta.
    In: KAE Working Papers.
    RePEc:sgh:kaewps:2018033.

    Full description at Econpapers || Download paper

  11. Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Ekaputra, Irwan ; Husodo, Zaafri Ananto ; Purwono, Yogo.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

    Full description at Econpapers || Download paper

  12. Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers. (2016). Escribano, Alvaro ; Blazsek, Szabolcs.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:1:p:145-163.

    Full description at Econpapers || Download paper

  13. Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications. (2015). Voudouris, Vlasios ; Rigby, Robert ; Eilers, Paul ; Stasinopoulos, Dimitrios ; Djennad, Abdelmajid .
    In: MPRA Paper.
    RePEc:pra:mprapa:62807.

    Full description at Econpapers || Download paper

  14. Forecasting Interest Rates Using Geostatistical Techniques. (2015). Di Marcantonio, Michele ; arbia, giuseppe.
    In: Econometrics.
    RePEc:gam:jecnmx:v:3:y:2015:i:4:p:733-760:d:58511.

    Full description at Econpapers || Download paper

  15. Stochastic conditonal range, a latent variable model for financial volatility. (2014). Galli, Fausto.
    In: MPRA Paper.
    RePEc:pra:mprapa:54841.

    Full description at Econpapers || Download paper

  16. Stochastic conditonal range, a latent variable model for financial volatility. (2014). Galli, Fausto.
    In: MPRA Paper.
    RePEc:pra:mprapa:54030.

    Full description at Econpapers || Download paper

  17. “Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market. (2014). Bień-Barkowska, Katarzyna.
    In: Bank i Kredyt.
    RePEc:nbp:nbpbik:v:45:y:2014:i:3:p:197-224.

    Full description at Econpapers || Download paper

  18. Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market. (2014). Bień-Barkowska, Katarzyna.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:50:y:2014:i:1:p:93-117.

    Full description at Econpapers || Download paper

  19. The dynamic mixed hitting-time model for multiple transaction prices and times. (2014). Renault, Eric ; Werker, Bas J. M., ; van der Heijden, Thijs.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:2:p:233-250.

    Full description at Econpapers || Download paper

  20. Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers. (2014). Escribano, Alvaro ; Blazsek, Szabolcs.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we1412.

    Full description at Econpapers || Download paper

  21. Who moves first? An intensity-based measure for information flows across stock exchanges. (2013). Kehrle, Kerstin ; Peter, Franziska J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:5:p:1629-1642.

    Full description at Econpapers || Download paper

  22. Energy risk management through self-exciting marked point process. (2013). Herrera, Rodrigo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:38:y:2013:i:c:p:64-76.

    Full description at Econpapers || Download paper

  23. Monte Carlo likelihood inference for marked doubly stochastic Poisson processes with intensity driven by marked point processes. (2012). Minozzo, Marco ; Centanni, Silvia.
    In: Working Papers.
    RePEc:ver:wpaper:11/2012.

    Full description at Econpapers || Download paper

  24. Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID. (2012). von Wyss, Rico ; Kohler, Alexander.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:09.

    Full description at Econpapers || Download paper

  25. Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models. (2012). Lucas, Andre ; Koopman, Siem Jan ; Scharth, Marcel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20120020.

    Full description at Econpapers || Download paper

  26. Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models. (2012). Lucas, Andre ; Koopman, Siem Jan ; Scharth, Marcel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110057.

    Full description at Econpapers || Download paper

  27. On the intraday periodicity duration adjustment of high-frequency data. (2012). Wu, Zhengxiao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:282-291.

    Full description at Econpapers || Download paper

  28. Patents, secret innovations and firms rate of return : differential effects of the innovation leader. (2012). Escribano, Alvaro ; Blazsek, Szabolcs.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we1202.

    Full description at Econpapers || Download paper

  29. Extreme value models in a conditional duration intensity framework. (2011). Herrera, Rodrigo ; Schipp, Bernhard.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2011-022.

    Full description at Econpapers || Download paper

  30. Extreme value models in a conditional duration intensity framework. (2011). Herrera, Rodrigo ; Schipp, Bernhard.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2011-022.

    Full description at Econpapers || Download paper

  31. Shrinkage estimation of semiparametric multiplicative error models. (2011). Gallo, Giampiero ; Brownlees, Christian.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:365-378.

    Full description at Econpapers || Download paper

  32. Shrinkage estimation of semiparametric multiplicative error models. (2011). Gallo, Giampiero ; Brownlees, Christian.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:2:p:365-378.

    Full description at Econpapers || Download paper

  33. Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors. (2010). Blazsek, Szabolcs ; Escribano, Alvaro.
    In: Post-Print.
    RePEc:hal:journl:peer-00732533.

    Full description at Econpapers || Download paper

  34. Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors. (2010). Escribano, Alvaro ; Blazsek, Szabolcs.
    In: Post-Print.
    RePEc:hal:journl:hal-00732533.

    Full description at Econpapers || Download paper

  35. Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors. (2010). Escribano, Alvaro ; Blazsek, Szabolcs.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:14-32.

    Full description at Econpapers || Download paper

  36. Nonparametric density estimation for positive time series. (2010). Rombouts, Jeroen ; Bouezmarni, Taoufik ; Rombouts, Jeroen V. K., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:2:p:245-261.

    Full description at Econpapers || Download paper

  37. Analysis of ultra-high-frequency financial data using advanced Fourier transforms. (2009). Ng, Wing Lon ; Constantinou, Nick ; Giampaoli, Iacopo .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:6:y:2009:i:1:p:47-53.

    Full description at Econpapers || Download paper

  38. Efficient importance sampling for ML estimation of SCD models. (2009). Galli, Fausto ; Bauwens, Luc.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:1974-1992.

    Full description at Econpapers || Download paper

  39. Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors. (2009). Escribano, Alvaro ; Blazsek, Szabolcs.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we098951.

    Full description at Econpapers || Download paper

  40. A General Framework for Observation Driven Time-Varying Parameter Models. (2008). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; André Lucas, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080108.

    Full description at Econpapers || Download paper

  41. Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation. (2008). André A. Monteiro, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080021.

    Full description at Econpapers || Download paper

  42. Sequential numerical integration in nonlinear state space models for microeconometric panel data. (2008). Heiss, Florian.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:3:p:373-389.

    Full description at Econpapers || Download paper

  43. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2008). Hautsch, Nikolaus.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:12:p:3978-4015.

    Full description at Econpapers || Download paper

  44. Improving MCMC, using efficient importance sampling. (2008). Richard, Jean-Francois ; Liesenfeld, Roman.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2008:i:2:p:272-288.

    Full description at Econpapers || Download paper

  45. Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market. (2007). Voev, Valeri ; Nolte, Ingmar.
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:0702.

    Full description at Econpapers || Download paper

  46. Modelling security market events in continuous time: Intensity based, multivariate point process models. (2007). Bowsher, Clive.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:876-912.

    Full description at Econpapers || Download paper

  47. Efficient high-dimensional importance sampling. (2007). Richard, Jean-Francois ; Zhang, Wei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:1385-1411.

    Full description at Econpapers || Download paper

  48. Modelling Financial High Frequency Data Using Point Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc ; Nikolaus, HAUTSCH ; Luc, Bauwens.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006039.

    Full description at Econpapers || Download paper

  49. Modelling financial high frequency data using point processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2006080.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-05-05 04:01:54 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2024. Contact: Jose Manuel Barrueco.