The dynamics of trading duration, volume and price volatility: A vector MEM model
Year of publication: |
2013
|
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Authors: | Xu, Yongdeng |
Publisher: |
Cardiff : Cardiff University, Cardiff Business School |
Subject: | vector MEM | ACD | GARCH | intraday trading process | duration | volume | volatility |
Series: | Cardiff Economics Working Papers ; E2013/7 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 745439152 [GVK] hdl:10419/101123 [Handle] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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The dynamics of trading duration, volume and price volatility : a vector MEM model
Xu, Yongdeng, (2013)
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The dynamics of trading duration, volume and price volatility – a vector MEM model
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