The ACD models and Bayesian inference in the analysis of transaction data from the Polish stock market
2011/01/N/HS4/03092
Keywords
Descriptors
- HS4_3: Ekonometria i metody statystyczne
- HS4_6: Rynki finansowe, bankowość, finanse przedsiębiorstw
- ST1_16: Analiza numeryczna i obliczenia naukowe
Panel
HS4 – Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution
UNIWERSYTET EKONOMICZNY W KRAKOWIE, Wydział Zarządzania
Voivodeship: małopolskie
Principal investigator (from the host institution)
Number of co-investigators in the project: 2
Call
PRELUDIUM 1 – announced on 2011-03-15
- Amount awarded
- 62 067 PLN
- Project start date
- 2011-12-27
- Project end date
- 2013-11-26
- Project duration
- 23 months (the same as in the proposal)
- Project status
- Project settled
Equipment purchased [PL]
- Oprogramowanie - program ekonometryczny "GAUSS". Cost: 3 000 PLN
- Zestaw komputerowy: komputer stacjonarny+monitor. Cost: 7 300 PLN
- Zewnętrzny, przenośny dysk twardy: WD Elements Portable 1TB.
Information in the final report
Publication in academic press/journals (2)
-
The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach
- Authors:
- Roman Huptas
- Academic press:
- Central European Journal of Economic Modelling and Econometrics (ISSN - 2080-0886 printed version; ISSN online - 2080-119X internet version) (year: 2016, volume: Vol. 8 (1), pages: 46042), Publisher: Polish Academy of Sciences - Lodz Branch
- Status:
- Published
-
Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market
- Authors:
- Roman Huptas
- Academic press:
- Central European Journal of Economic Modelling and Econometrics (ISSN - 2080-0886 printed version; ISSN online - 2080-119X internet version) (year: 2014, volume: Vol. 6 (4), pages: 237-273), Publisher: Polish Academy of Sciences - Lodz Branch
- Status:
- Published
Articles in post-conference publications (1)
-
Bayesian augmented ACD models in analysis of financial trade durations: evidence from the Warsaw Stock Exchange
- Authors:
- Roman Huptas
- Conference:
- European Seminar on Bayesian Econometrics - ESOBE 2012 (year: 2012, pages: -), Publisher: materiał konferencyjny dostepny tylko na stronie internetowej konferencji; dotychczas brak konkretnego wydawcy; rozszerzona wersja artykułu do wyd. o zasięgu międzynarodowym w przygotowaniu
- Date:
- conference 1-2.11.2012
- Status:
- Published
- DOI:
- link to the publication