Modelling intraday trading activity using Box-Cox-ACD models
Nikolaus Hautsch
| Year of publication: |
2002
|
|---|---|
| Authors: | Hautsch, Nikolaus |
| Publisher: |
Konstanz : CFE |
| Subject: | Wertpapierhandel | Securities trading | Handelsvolumen der Börse | Trading volume | Dauer | Duration | ARCH-Modell | ARCH model | Theorie | Theory |
| Extent: | 25 S graph. Darst |
|---|---|
| Series: | Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz. - Konstanz, ZDB-ID 2172014-9. - Vol. 02/05 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | ACD = Autoregressive Conditional Duration Internetausg.: http://econometrics.wiwi.uni-konstanz.de/CoFE/Papers/dp02_05.pdf Literaturverz. S. 24 - 25 |
| Classification: | C22 - Time-Series Models ; C41 - Duration Analysis ; G14 - Information and Market Efficiency; Event Studies |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001683732