Modelling financial transaction price movements: a dynamic integer count data model
| Year of publication: |
2006
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|---|---|
| Authors: | Liesenfeld, Roman ; Nolte, Ingmar ; Pohlmeier, Winfried |
| Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 30.2006, 4, p. 795-825
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| Publisher: |
Department of Economics and Finance Research and Teaching |
| Subject: | Financial transaction prices | Autoregressive conditional multinomial model | GLARMA | Count data | Market microstructure effects |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005612938