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~isPartOf:"Diskussionsbeiträge / 2"
~isPartOf:"Dresden discussion paper series in economics"
~isPartOf:"SFB 649 discussion paper"
~person:"Chua, Wee Song"
~person:"Groß-Klußmann, Axel"
~source:"econis"
~subject:"Auslandsinvestition"
~subject:"Börsenkurs"
~subject:"Energy forecast"
~subject:"Finanzanalyse"
~subject:"Prognoseverfahren"
~type_genre:"Collection of articles written by one author"
~type_genre:"Graue Literatur"
~type_genre:"Konferenzschrift"
~type_genre:"Ratgeber"
~type_genre:"Sammlung"
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Chua, Wee Song
Groß-Klußmann, Axel
Härdle, Wolfgang
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Diskussionsbeiträge / 2
Dresden discussion paper series in economics
SFB 649 discussion paper
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Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Chen, Ying
;
Chua, Wee Song
;
Härdle, Wolfgang
-
2016
-of-sample
forecast
experiments. It produces accurate 5-, 25- and 50- minute forecasts, with root mean squared error as low as 0.09 to 0 …
Persistent link: https://www.econbiz.de/10011518802
Saved in:
2
Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel
;
Hautsch, Nikolaus
-
2011
-
This version: July 2011
counts. The model is applied to
forecast
quoted bid-ask spreads, a key parameter in stock trading operations. It is shown …
Persistent link: https://www.econbiz.de/10009229669
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