EASLEY, DAVID; ENGLE, ROBERT F.; O’HARA, MAUREEN; WU, … - 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...