.
Pacurar, Maria's
Scholarly Papers
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column.
Aggregate Statistics
Total 1,059
Total Citations 26
1.
Pacurar, Maria Dalhousie University - School of Business Administration
488(26,254)
10
Autoregressive Conditional Duration model, tick-by-tick data, duration clustering, marked point process, market microstructure, asymmetric information, Value at Risk
2.
Dionne, Georges HEC Montreal - Department of Finance
Duchesne, Pierre University of Montreal - Department of Mathematics and Statistics
Pacurar, Maria Dalhousie University - School of Business Administration
478(26,987)
6
Value at Risk, tick-by-tick data, UHF-GARCH models, intraday market risk, high-frequency models, intraday Monte Carlo simulation, Intraday Value at Risk
3.
Duchesne, Pierre University of Montreal - Department of Mathematics and Statistics
Pacurar, Maria Dalhousie University - School of Business Administration
91(143,837)
Autoregressive conditional duration model, duration clustering, model adequacy, one-sided testing, spectral density, time series
4.
Pacurar, Maria Dalhousie University - School of Business Administration
2(335,378)
10
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