Fausto Galli

Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)

34 Voie du Roman Pays

B-1348 Louvain-la-Neuve, b-1348

Belgium

SCHOLARLY PAPERS

3

DOWNLOADS

506

SSRN CITATIONS

1

CROSSREF CITATIONS

12

Scholarly Papers (3)

1.

The Moments of Log-Acd Models

CORE Discussion Paper
Number of pages: 26 Posted: 25 Feb 2003
Luc Bauwens, Fausto Galli and Pierre Giot
Université catholique de Louvain, Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 268 (143,960)
Citation 14

Abstract:

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Duration model, overdispersion, autocorrelation function, high frequency financial data

2.

A Nonparametric Acd Model

CORE Discussion Paper No. 2006/67
Number of pages: 23 Posted: 14 Nov 2006
Antonio Cosma and Fausto Galli
Université du Luxembourg and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 153 (240,371)
Citation 5

Abstract:

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nonparametric, ACD, trade durations, local-linear

3.

Efficient Importance Sampling for ML Estimation of SCD Models

CORE Discussion Paper No. 2007/53
Number of pages: 31 Posted: 30 Aug 2007
Luc Bauwens and Fausto Galli
Université catholique de Louvain and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 85 (364,215)
Citation 2

Abstract:

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stochastic conditional duration, importance sampling