Palgrave Handbook of Econometrics: Applied Econometrics

1012 Autoregressive Conditional Duration Models Lag ACF –0.10 0.0 0 5 10 15 20 25 30 0.10 0.20 (a) Adjusted durations of IBM sto ...

Ruey S. Tsay 1013 024681012 0246 8101214 Standardized residuals Weibull Figure 21.3 QQ-plot of the standardized residuals of the ...

1014 Autoregressive Conditional Duration Models Time Range 2000 2002 2004 2006 2008 0.02 0.06 0.10 0.14 (a) Daily range of log p ...

Ruey S. Tsay 1015 Lag ACF 01 02 03 04 0 0.0 0.2 0.4 0.6 (a) Sample ACF of the daily range of log price Lag ACF –0.2 –0.1 0.0 0.1 ...

1016 Autoregressive Conditional Duration Models Table 21.2 Estimation results of EACD(1,1), WACD(1,1) and GACD(1,1) models for t ...

Ruey S. Tsay 1017 Index Trade duration 0 5000 10000 15000 20000 806040200 100 (a) Trade duration Index Time interval 0 5000 1000 ...

1018 Autoregressive Conditional Duration Models Index Duration 0 20406080100 0 5000 10000 15000 20000 (a) Trade duration Index T ...

Ruey S. Tsay 1019 the residuals of the regression in equation (21.13) are serially correlated. Thus, the standard errors shown a ...

1020 Autoregressive Conditional Duration Models the space ofxi−d, and it is nonlinear when some of the parameters in the two reg ...

Ruey S. Tsay 1021 Table 21.3 Selection of the threshold of a TWACD(2;1,1) model for the daily range of the log price of Apple st ...

1022 Autoregressive Conditional Duration Models Time E(range) 2000 2002 2004 2006 2008 0.02 0.04 0.06 0.08 (a) Expected daily ra ...

Ruey S. Tsay 1023 Time E(duration) 2000 2002 2004 2006 2008 0.02 0.04 0.06 0.08 (a) Expected duration: intervention model Lag AC ...

1024 Autoregressive Conditional Duration Models 21.7 Conclusion In this chapter, we introduced the autoregressive conditional du ...

22 The Econometrics of Exchange Rates Efthymios G. Pavlidis, Ivan Paya and David A. Peel Abstract We provide a selective overvie ...

1026 The Econometrics of Exchange Rates 22.1 Introduction The purpose of this chapter is to provide a selective overview of the ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1027 Average daily global turnover in foreign exchange market transactions wa ...

1028 The Econometrics of Exchange Rates The power of both ADF and PP tests was around 45% for a sample size of 100. Caner and Ki ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1029 The variableyt−d(though in general it could be a vector) is assumed to b ...

1030 The Econometrics of Exchange Rates A researcher might not know which STAR model the data follows and a sensible first step ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1031 Teräsvirta (1998) conclude that conditional heteroskedasticity may resul ...