Dynamic Autoregressive Liquidity (DArLiQ)

DOI10.1080/07350015.2023.2238790MaRDI QIDQ6626245zbMATH OpenFDO

Authors Christian M. Hafner, Oliver Linton, Linqi Wang

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2023.2238790

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(1)

• A fractional Hawkes process for illiquidity modeling

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