Easley, David; Engle, Robert F.; O'Hara, Maureen; Wu, Liuren - EconWPA - 2002
In this paper we extend the model of Easley and O'Hara (1992) to allow the arrival rates of informed and uninformed trades to be time-varying and forecastable. We specify a generalized autoregressive bivariate process for the arrival rates of informed and uninformed trades and estimate the model...
