8 citations · 8 across the 2 of their papers we have counts for
2 papers
q-fin.CP2020
Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data
Vladimír Holý, Petra Tomanová
We investigate the computational issues related to the memory size in the estimation of quadratic covariation, taking into account the specifics of financial ultra-high-frequency d…
q-fin.ST2018★ 8 cited
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
Francisco Blasques, Vladimír Holý, Petra Tomanová
In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values.…