1998
DOI: 10.1007/978-4-431-65950-1_27
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Irregularly Spaced AR (ISAR) Models

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Cited by 4 publications
(5 citation statements)
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“…The parameters of interest are the response functions Ö 1 ( X ) and Ö 2 ( X ) for interventions and customer transactions. Following the irregular-spaced model by Pai and Polasek (1995), two parameterisations are used: constant and reciprocal response functions. These can be written as…”
Section: The Empirical Modelmentioning
confidence: 99%
See 1 more Smart Citation
“…The parameters of interest are the response functions Ö 1 ( X ) and Ö 2 ( X ) for interventions and customer transactions. Following the irregular-spaced model by Pai and Polasek (1995), two parameterisations are used: constant and reciprocal response functions. These can be written as…”
Section: The Empirical Modelmentioning
confidence: 99%
“…This problem of omitted variables is mitigated somewhat by the fact that central banks always seem to have intervened in the same direction. In addition, the 12 Pai and Polasek (1995) consider also an exponential response function, where á bj aÄt i is replaced by á bj e ÀÄ t i in (2). 13 In the case of the reciprocal response function when á aj and á bj are of opposite sign, the restriction Ö 1 ( X ) .…”
Section: The Empirical Modelmentioning
confidence: 99%
“…The second class of models focuses on modeling volatility and inter-transaction duration processes. The first approaches have been presented by Pai and Polasek (1995) and Engle (1996), who specifies a model that includes expected intertransaction durations, estimated using an ACD model, as additional explanatory variables in the conditional variance equation. Meddahi, Renault and Werker (1998) also propose a framework for the econometric modeling of volatility and duration processes, but as yet the empirical performance has only been tested for the duration part of the model.…”
Section: Introductionmentioning
confidence: 99%
“…Early studies estimated models in event time, without explicit account of calendar time [see Hasbrouck (1988Hasbrouck ( , 1991 and Harris (1986)]. Hausman et al (1992) and Pai and Polasek (1995) treated time as an exogenous explanatory variable. The introduction of the autoregressive conditional duration (ACD) model by Engle and Russell (1998) represents the first direct attempt at jointly modeling the process of interest and the intervals of time between observations in a dynamic system.…”
Section: Introductionmentioning
confidence: 99%