Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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The ACD models and Bayesian inference in the analysis of transaction data from the Polish stock market

2011/01/N/HS4/03092

Keywords:

the Autoregressive Conditional Duration models (the ACD models) ultra-high-frequency data (UHF data),market microstructure the UHF-GARCH models Bayesian inference

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance
  • ST1_16: Numerical analysis

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Ekonomiczny w Krakowie, Wydział Zarządzania

woj. małopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Roman Huptas 

Number of co-investigators in the project: 2

Call: PRELUDIUM 1 - announced on 2011-03-15

Amount awarded: 62 067 PLN

Project start date (Y-m-d): 2011-12-27

Project end date (Y-m-d): 2013-11-26

Project duration:: 23 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Zestaw komputerowy: komputer stacjonarny+monitor (7 300 PLN)
  2. Zewnętrzny, przenośny dysk twardy: WD Elements Portable 1TB.
  3. Oprogramowanie - program ekonometryczny "GAUSS" (3 000 PLN)

Information in the final report

  • Publication in academic press/journals (2)
  • Articles in post-conference publications (1)
  1. 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) (rok: 2014, tom: Vol. 6 (4), strony: 237-273), Wydawca: Polish Academy of Sciences - Lodz Branch
    Status:
    Published
    DOI:
    brak - link to the publication
  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) (rok: 2016, tom: Vol. 8 (1), strony: 45311), Wydawca: Polish Academy of Sciences - Lodz Branch
    Status:
    Published
    DOI:
    brak - link to the publication
  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 (rok: 2012, ), Wydawca: materiał konferencyjny dostepny tylko na stronie internetowej konferencji; dotychczas brak konkretnego wydawcy; rozszerzona wersja artykułu do wyd. o zasięgu międzynarodowym w przygotowaniu
    Data:
    konferencja 1-2.11.2012
    Status:
    Published
    DOI:
    link to the publication

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