The dynamic mixed hitting-time model for multiple transaction prices and times
Year of publication: |
2014
|
---|---|
Authors: | Renault, Eric ; van der Heijden, Thijs ; Werker, Bas J.M. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 180.2014, 2, p. 233-250
|
Publisher: |
Elsevier |
Subject: | Duration modeling | Hitting time | Trading intensity | Market microstructure |
-
The dynamic mixed hitting-time model for multiple transaction prices and times
Renault, Eric, (2014)
-
Trade intensity in the Russian stock market:dynamics, distribution and determinants
Anatolyev, Stanislav, (2006)
-
High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables
Li, Yifan, (2018)
- More ...
-
The dynamic mixed hitting-time model for multiple transaction prices and times
Renault, Eric, (2014)
-
The Dynamic Mixed Hitting-Time Model for Multiple Transaction Prices and Times
Renault, Eric, (2014)
-
Arbitrage Pricing Theory for Idiosyncratic Variance Factors
Renault, Eric, (2019)
- More ...