کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9741223 | 1489451 | 2005 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Some statistical models for durations and an application to News Corporation stock prices
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper considers a new class of time series models called autoregressive conditional duration (ACD) models. These models have been developed and applied to investigate the price discovery process in the context of financial markets. The various statistical properties of this class of ACD models are examined. A minimum mean square error (MMSE) forecast function is obtained as it plays an important role in many practical applications. The theory and utilisation of these models are illustrated using a potential application based on a sample of high frequency transactions based stock price data for News Corporation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 68, Issues 5â6, 26 May 2005, Pages 545-552
Journal: Mathematics and Computers in Simulation - Volume 68, Issues 5â6, 26 May 2005, Pages 545-552
نویسندگان
Shelton Peiris, David Allen, Wenling Yang,