A generalized gamma autoregressive conditional duration model

von Lunde, Asger
Veröffentlicht in Lunde, Asger Econometric modelling of durations between economic events (1999)

A conjugate gamma model for durations in transaction data

von Lunde, Asger
Veröffentlicht in Lunde, Asger Econometric modelling of durations between economic events (1999)

Trade and quotes : a bivariate point process

von Lunde, Asger
Veröffentlicht in Lunde, Asger Econometric modelling of durations between economic events (1999)

Econometric modelling of durations between economic events

von Lunde, Asger
Veröffentlicht 1999

The hazards of mutual fund underperformance : a Cox regression analysis

von Lunde, Asger
Veröffentlicht in Lunde, Asger Econometric modelling of durations between economic events (1999)

Completion time structures of stock price movements

von Lunde, Asger
Veröffentlicht in Annals of finance (2005)

Integrated covariance estimation using high-frequency data in the presence of noise

von Voev, Valeri
Veröffentlicht in Journal of financial econometrics (2007)

Duration dependence in stock prices : an analysis of bull and bear markets

von Lunde, Asger
Veröffentlicht in Journal of business & economic statistics (2004)

Duration dependence in stock prices : an analysis of bull and bear markets

von Lunde, Asger
Veröffentlicht 2003

Realized variance and market microstructure noise

von Hansen, Peter Reinhard
Veröffentlicht in Journal of business & economic statistics (2006)

Estimating the persistence and the autocorrelation function of a time series that is measured with error

von Hansen, Peter Reinhard
Veröffentlicht in Econometric theory (2014)

A forecast comparison of volatility models : does anything beat a GARCH (1,1)?

von Hansen, Peter Reinhard
Veröffentlicht in Journal of applied econometrics (2005)

Trades and quotes : a bivariate point process

von Engle, Robert F.
Veröffentlicht in Journal of financial econometrics (2003)

Trades and quotes : a bivariate point process

von Engle, Robert F.
Veröffentlicht 1998

Analyzing oil futures with a dynamic Nelson-Siegel model

von Grønborg, Niels S.
Veröffentlicht in The journal of futures markets (2016)

Intraday volatility responses to monetary policy events

von Lunde, Asger
Veröffentlicht in Financial markets and portfolio management (2009)

A realized variance for the whole day based on intermittent high-frequency data

von Hansen, Peter Reinhard
Veröffentlicht in Journal of financial econometrics (2005)

Consistent ranking of volatility models

von Hansen, Peter Reinhard
Veröffentlicht in Journal of econometrics (2006)

The NIG-S&ARCH model : a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

von Jensen, Morten Berg
Veröffentlicht in The econometrics journal (2001)

Calculating the damage of a cartel subject to transition periods : the international uranium cartel in the 1970s

von Lunde, Asger
Veröffentlicht in Energy economics (2019)