Frank Gerhard

Barclays Investment Bank

5 The North Colonnade

London, Canary Wharf E14 4BB

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

717

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

Volatility Estimation on the Basis of Price Intensities

Number of pages: 41 Posted: 15 Nov 2001
Nikolaus Hautsch and Frank Gerhard
University of Vienna - Department of Statistics and Operations Research and Barclays Investment Bank
Downloads 315 (95,896)

Abstract:

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High-frequency data, price durations, proportional hazard model, intraday and time-to-maturity seasonalities

Volatility Estimation on the Basis of Price Intensities

Journal of Empirical Finance, Vol. 9, pp. 57-89, 2002
Posted: 19 Nov 2001
Nikolaus Hautsch and Frank Gerhard
University of Vienna - Department of Statistics and Operations Research and Barclays Investment Bank

Abstract:

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High-frequency data, price durations, proportional hazard model, intraday and time-to-maturity seasonalities

2.

Semiparametric Autoregressive Conditional Proportional Hazard Models

Number of pages: 23 Posted: 08 Nov 2001
Nikolaus Hautsch and Frank Gerhard
University of Vienna - Department of Statistics and Operations Research and Barclays Investment Bank
Downloads 202 (151,738)
Citation 1

Abstract:

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autoregressive duration models, dynamic ordered response models, generalised residuals, censoring

A Dynamic Semiparametric Proportional Hazard Model

U of Copenhagen Finance Working Paper No. 2006/05
Number of pages: 34 Posted: 16 Nov 2006
Frank Gerhard and Nikolaus Hautsch
Barclays Investment Bank and University of Vienna - Department of Statistics and Operations Research
Downloads 200 (152,973)

Abstract:

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autoregressive duration models, dynamic ordered response models, generalized residuals, censoring

A Dynamic Semiparametric Proportional Hazard Model

Studies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 2, 2007
Posted: 01 Nov 2008
Frank Gerhard and Nikolaus Hautsch
Barclays Investment Bank and University of Vienna - Department of Statistics and Operations Research

Abstract:

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buy and sell arrival process, order book information, market depth, bivariate autoregressive intensity model, net buy pressure