Groß-Klußmann, Axel; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown … that the LMACP nicely captures salient features of bid-ask spreads like the strong autocorrelation and discreteness of … observations. We discuss theoretical properties of LMACP models and evaluate rolling window forecasts of quoted bid-ask spreads for …