Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
Year of publication: |
2011-07
|
---|---|
Authors: | Groß-Klußmann, Axel ; Hautsch, Nikolaus |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Bid-ask spreads | forecasting | high-frequency data | stock market liquidity | count data time series | long memory Poisson autoregression |
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