ADVANCEMENT OF AUTOREGRESSIVE CONDITIONAL DURATION MODELS INVOLVING LIQUIDITY AND PRICE DYNAMICS (Q5269733)
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scientific article; zbMATH DE number 6736179
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | ADVANCEMENT OF AUTOREGRESSIVE CONDITIONAL DURATION MODELS INVOLVING LIQUIDITY AND PRICE DYNAMICS |
scientific article; zbMATH DE number 6736179 |
Statements
ADVANCEMENT OF AUTOREGRESSIVE CONDITIONAL DURATION MODELS INVOLVING LIQUIDITY AND PRICE DYNAMICS (English)
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27 June 2017
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autoregressive
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conditional duration
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liquidity
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price dynamics
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probit framework
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extreme quantiles
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