Bowsher, Clive G. - Economics Group, Nuffield College, University of Oxford - 2004
developed in which a smooth, cubic spline signal function is used to approximate the price curve data. Estimation may then be … and their intercepts (i.e. the immediate price impacts of market orders) are well described by covariance stationary … parametric FSN models that take into account the monotonicity of the price curves and can be used to form predictive …
