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~institution:"School of Finance, Universität St. Gallen"
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Multivariate Autoregressive Conditional Intensity
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School of Finance, Universität St. Gallen
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Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID
Kohler, Alexander
;
von Wyss, Rico
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School of Finance, Universität St. Gallen
-
2012
conditional
intensity
(ACI) model that explicitly takes the asynchronous structure of order arrivals into account, we find strong …
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