Predicting bid-ask spreads using long-memory autoregressive conditional poisson models
Year of publication: |
2013
|
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Authors: | Groß-Klußmann, Axel ; Hautsch, Nikolaus |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 32.2013, 8, p. 724-742
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Subject: | bid–ask spreads | forecasting | high-frequency data | stock market liquidity | count data time series | long-memory Poisson autoregression | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Autokorrelation | Autocorrelation | Geld-Brief-Spanne | Bid-ask spread | Aktienmarkt | Stock market | Börsenkurs | Share price | Theorie | Theory | Volatilität | Volatility | Schätzung | Estimation |
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