Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas
Year of publication: |
2004-08-11
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Authors: | Rengifo, Erick ; Heinen, Andresas |
Institutions: | Econometric Society |
Subject: | Continuousation | Factor model | Market microstructure |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Econometric Society Far Eastern Meetings 2004 Number 755 |
Classification: | C32 - Time-Series Models ; C35 - Discrete Regression and Qualitative Choice Models ; G10 - General Financial Markets. General |
Source: |
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Trading activity and liquidity supply in a pure limit order book market
GRAMMIG, Joachim, (2004)
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Multivariate modelling of time series count data: an autoregressive conditional Poisson model
HEINEN, Andreas, (2003)
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Grammig, Joachin, (2004)
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Wagner, Joachim, (1989)
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Advances in economics and econometrics: theory and applications ; Vol. 1
Kreps, David M., (1997)
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Advances in economics and econometrics: theory and applications ; Vol. 2
Kreps, David M., (1997)
- More ...