An examination of the NASDAQ 100 futures contract using ultra high frequency data
Year of publication: |
2013
|
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Authors: | Abid, Fathi ; Trabelsi, Lotfi |
Published in: |
Journal of business and finance. - Islamabad : eSci Journals Publishing, ISSN 2305-1825, ZDB-ID 2728133-4. - Vol. 1.2013, 1, p. 27-37
|
Subject: | Index futures contracts | market microstructure | price impact | ultra-high frequency data | Autoregressive conditional duration | Marktmikrostruktur | Market microstructure | Index-Futures | Index futures | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis |
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