2 papers
q-fin.ST2022
On the dependence structure of the trade/no trade sequence of illiquid assets
Hamdi Raïssi
In this paper, we propose to consider the dependence structure of the trade/no trade categorical sequence of individual illiquid stocks returns. The framework considered here is wi…
stat.ME2012
Testing second order dynamics for autoregressive processes in presence of time-varying variance
Valentin Patilea, Hamdi Raïssi
The volatility modeling for autoregressive univariate time series is considered. A benchmark approach is the stationary ARCH model of Engle (1982). Motivated by real data evidence,…