Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
by Robert F. Engle and Jeffrey R. Russell
| Year of publication: |
1995
|
|---|---|
| Authors: | Engle, Robert F. ; Russell, Jeffrey R. |
| Publisher: |
San Diego |
| Subject: | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Marktmikrostruktur | Market microstructure | Schätzung | Estimation | Theorie | Theory | Dauer | Duration | Autokorrelation | Autocorrelation | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Extent: | 36 S. : graph. Darst |
|---|---|
| Series: | Discussion paper / Department of Economics, University of California San Diego. - San Diego, Calif., ZDB-ID 2437630-9. |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000929607