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Maria Pacurar

Dalhousie University - Rowe School of Business

6100 University Avenue

Halifax, Nova Scotia B3H 4R2

Canada

  • Dalhousie University - Rowe School of Business

SCHOLARLY PAPERS

5

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Rank 35,104

SSRN RANKINGS

Top 35,104

in Total Papers Downloads

3,605

TOTAL CITATIONS

15

Scholarly Papers (5)

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1.

Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature

Journal of Economic Surveys 22, 4, 711-751
Number of pages: 60 Posted: 28 Sep 2006 Last Revised: 05 Jan 2023
Maria Pacurar
Dalhousie University - Rowe School of Business
Downloads 1,522 (30,728)
Citation 5

Abstract:

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Autoregressive Conditional Duration model, tick-by-tick data, duration clustering, marked point process, market microstructure, asymmetric information, Value at Risk

2.

Intraday Value at Risk (Ivar) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange

Journal of Empirical Finance, Vol. 16, No. 5, 2009
Number of pages: 39 Posted: 08 Dec 2005 Last Revised: 05 Jan 2023
Georges Dionne, Pierre Duchesne and Maria Pacurar
HEC Montreal - Department of Finance, University of Montreal - Department of Mathematics and Statistics and Dalhousie University - Rowe School of Business
Downloads 1,379 (35,540)
Citation 9

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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.

Liquidity-Adjusted Intraday Value at Risk Modeling and Risk Management: An Application to Data from Deutsche Börse

Journal of Banking and Finance, Vol. 59, No. 1, 2015
Number of pages: 51 Posted: 21 Feb 2014 Last Revised: 05 Jan 2023
Georges Dionne, Maria Pacurar and Xiaozhou Zhou
HEC Montreal - Department of Finance, Dalhousie University - Rowe School of Business and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 393 (186,949)

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Liquidity-adjusted Intraday Value at Risk, Tick-by-tick data, Log-ACD-VARMA-MGARCH, Ex-ante Liquidity premium, Limit Order Book

4.

Is It Time to Embrace the Alpha?

Number of pages: 43 Posted: 02 Nov 2014
Maria Pacurar and Oumar Sy
Dalhousie University - Rowe School of Business and Dalhousie University
Downloads 165 (454,356)

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CAPM, multifactor asset-pricing models, alpha, beta, size, value, and momentum effects, international stock returns, misspecified models

5.

On Testing for Duration Clustering and Diagnostic Checking of Models for Irregularly Spaced Transaction Data

Les Cahiers du CREF of HEC Montreal Working Paper No. 03-05
Number of pages: 30 Posted: 23 Jun 2005
Pierre Duchesne and Maria Pacurar
University of Montreal - Department of Mathematics and Statistics and Dalhousie University - Rowe School of Business
Downloads 146 (505,974)
Citation 1

Abstract:

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Autoregressive conditional duration model, duration clustering, model adequacy, one-sided testing, spectral density, time series