Duration, trading volume and the price impact of trades in an emerging futures market
Year of publication: |
2013
|
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Authors: | Bowe, Michael ; Hyde, Stuart ; McFarlane, Lavern |
Published in: |
Emerging markets review. - Amsterdam [u.a.] : Elsevier, ISSN 1566-0141, ZDB-ID 2025202-X. - Vol. 17.2013, p. 89-105
|
Subject: | Duration | Autoregressive conditional volume | Autoregressive conditional duration | Liquidity | Marketmaker obligations | Schätzung | Estimation | Handelsvolumen der Börse | Trading volume | Dauer | Börsenkurs | Share price | ARCH-Modell | ARCH model | Theorie | Theory | Statistische Bestandsanalyse | Duration analysis | Marktmikrostruktur | Market microstructure | Wertpapierhandel | Securities trading |
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