Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models
From MaRDI portal
Recommendations
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks
- Order flow and the bid-ask spread: an empirical probability model of screen-based trading
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- A long-memory integer-valued time series model, INARFIMA, for financial application
- Semiparametric estimation of the bid-ask spread in extended roll models
Cited in
(12)- Order flow and the bid-ask spread: an empirical probability model of screen-based trading
- Semiparametric estimation of the bid-ask spread in extended roll models
- Machine learning and speed in high-frequency trading
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- Semiparametric identification of the bid-ask spread in extended Roll models
- Modeling the coupled return-spread high frequency dynamics of large tick assets
- A behavioural model of investor sentiment in limit order markets
- Spread component costs and stock trading characteristics in the Spanish stock exchange. Two flexible fractional response models
- Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
- Inference and forecasting for continuous-time integer-valued trawl processes
- A Bayesian spatio-temporal Poisson auto-regressive model for the disease infection rate: application to COVID-19 cases in england
- Modeling long memory with zero-inflated geometric INAR(1) process and its \(\mathbb{Z}\)-valued version
This page was built for publication: Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4687355)