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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4015
Persistent link: https://www.econbiz.de/10003804813
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - In: Journal of economic dynamics & control 36 (2012) 4, pp. 501-522
Persistent link: https://www.econbiz.de/10009554343
Cover Image
The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - In: Journal of economic dynamics & control 36 (2012) 4, pp. 501-523
Persistent link: https://www.econbiz.de/10009830696
Cover Image
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4016
Persistent link: https://www.econbiz.de/10008880244
Cover Image
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4009
Persistent link: https://www.econbiz.de/10008135639