Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (Q4687355): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 19:52, 7 February 2024
scientific article; zbMATH DE number 6951868
Language | Label | Description | Also known as |
---|---|---|---|
English | Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models |
scientific article; zbMATH DE number 6951868 |
Statements
Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (English)
0 references
11 October 2018
0 references
high-frequency data
0 references
stock market liquidity
0 references
count data time series
0 references
rolling-window forecasts
0 references