Asymmetric ACD models: Introducing price information in ACD models
Year of publication: |
2003
|
---|---|
Authors: | Bauwens, Luc ; Giot, Pierre |
Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 28.2003, 4, p. 709-731
|
Publisher: |
Department of Economics and Finance Research and Teaching |
Subject: | Duration and transition model | high frequency data | market microstructure | forecasting |
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