Dynamics of trade-by-trade price movements: decomposition and models
Year of publication: |
2002-01-01
|
---|---|
Authors: | Shephard, Neil ; Rydberg, Tina Hviid |
Institutions: | Department of Economics, Oxford University |
Subject: | Activity | autologistic | conditional independence | decomposition | directions | durations | forecasting | GLARMA | logarithmic distribution | prediction decomposition | size | transactions data |
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