A Dynamic Integer Count Data Model for Financial Transaction Prices
Year of publication: |
2003-02
|
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Authors: | Pohlmeier, Winfried ; Liesenfeld, Roman |
Institutions: | Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften |
Subject: | Autoregressive conditional multinomial model | GLARMA | transaction prices | count data | market microstructure |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 03-03 24 pages |
Classification: | C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models ; G10 - General Financial Markets. General |
Source: |
-
A Dynamic Integer Count Data Model for Financial Transaction Prices
Pohlmeier, Winfried, (2003)
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Nonlinear liquidity adjustments in the euro area overnight money market
Beaupain, Renaud, (2012)
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Econometric analysis of financial transaction data : pitfalls and opportunities
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Estimating Liquidity Using Information on the Multivariate Trading Process
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Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
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A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics
Bien, Katarzyna, (2006)
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