scholarly journals Analisis Likuiditas Saham Sektor Perbankan di BEI Menggunakan Analisis Intervensi dan Autoregressive Conditional Duration

Inferensi ◽  
2020 ◽  
Vol 3 (1) ◽  
pp. 47
Author(s):  
Luh Putu Shintya Handayani ◽  
Dedy Dwi Prastyo
Keyword(s):  
Autoregressive Conditional Duration

Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO

2000 ◽  
Vol 220 (6) ◽  
Author(s):  
Reinhard Hujer ◽  
Joachim Grammig ◽  
Stefan Kokot
Keyword(s):  
Initial Public Offering ◽  
Structural Breaks ◽  
Duration Model ◽  
Time Varying ◽  
Threshold Autoregressive ◽  
Public Offering ◽  
Autoregressive Conditional Duration ◽  
Autoregressive Conditional Duration Model

SummaryWe apply the Threshold Autoregressive Conditional Duration Model (TACD) as proposed by Zhang, Russell, and Tsay (1999) to model the after market trading duration process associated with the initial public offering of the Deutsche Telekom AG share in November of 1996. Special emphasis is devoted to the empirical specification of intra-day seasonality and to the detection of non-stationarity and structural breaks in the trading process.

Autoregressive conditional duration models: an application in the Brazilian stock market

2016 ◽  
Vol 10 ◽  
pp. 1573-1594
Author(s):  
Mauri Aparecido de Oliveira ◽  
Ricardo Luiz Pereira Bueno ◽  
Lais Sayuri Kotsubo ◽  
Daniel Reed Bergmann
Keyword(s):  
Stock Market ◽  
Duration Models ◽  
Autoregressive Conditional Duration
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