Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models (Q4687355)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 6951868
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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
0.7520017623901367
0 references
0.736908495426178
0 references
0.7312467098236084
0 references
0.7273446917533875
0 references
0.7239376306533813
0 references
