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Persistent link: https://www.econbiz.de/10001318007
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...
Persistent link: https://www.econbiz.de/10005413104