Narrow search
Showing 1 - 10 of 12,368
Cover Image
The determinanants of bid-ask spread in the Guyanese FX market
Khemraj, Tarron; Pasha, Sukrishnalall - In: The journal of developing areas 48 (2014) 2, pp. 39-62
Persistent link: https://www.econbiz.de/10010364679
Cover Image
An inflated Multivariate Integer Count Hurdle model : an application to bid and ask quote dynamics
Korycka-Bień, Katarzyna (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003449949
Cover Image
Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011 - This version: July 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of 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...
Persistent link: https://www.econbiz.de/10009229669
Cover Image
Predicting bid-ask spreads using long-memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of forecasting 32 (2013) 8, pp. 724-742
Persistent link: https://www.econbiz.de/10010344462
Cover Image
Regression models for ordinal valued time series with application to high frequency financial data
Müller, Gernot; Czado, Claudia - 2002
Persistent link: https://www.econbiz.de/10001744451
Cover Image
The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks
Bauwens, Luc; Giot, Pierre - In: Annales d'économie et de statistique (2000), pp. 117-149
Persistent link: https://www.econbiz.de/10001543399
Cover Image
A SHARP model of bid-ask spread forecasts
Cattivelli, Luca; Pirino, Davide - In: International journal of forecasting 35 (2019) 4, pp. 1211-1225
Persistent link: https://www.econbiz.de/10012305253
Cover Image
How does short selling affect liquidity in financial markets?
Blau, Benjamin; Whitby, Ryan J. - In: Finance research letters 25 (2018), pp. 244-250
Persistent link: https://www.econbiz.de/10012003551
Cover Image
Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of 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...
Persistent link: https://www.econbiz.de/10014180186
Cover Image
Optimal growth under loss aversion
Rosenblatt-Wisch, Rina - 2005
Persistent link: https://www.econbiz.de/10003317717