The response of individual FX dealers'quoting activity to macroeconomic news announcements
Year of publication: |
2003-10
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Authors: | BEN OMRANE, Walid ; HEINEN, Andréas |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | foreign exchange | market microstructure | time series | count data |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2003070 |
Classification: | F31 - Foreign Exchange ; G15 - International Financial Markets ; C35 - Discrete Regression and Qualitative Choice Models |
Source: |
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Multivariate modelling of time series count data: an autoregressive conditional Poisson model
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