Econometric analysis of financial transaction data: pitfalls and opportunities

MaRDI QIDQ2567522zbMATH OpenFDO

Authors Nikolaus Hautsch, Winfried Pohlmeier

Publication date 11 October 2005

Published in AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

zbMATH Keywords

transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor trading

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• Dilemmas of robust analysis of economic data streams
• What drives illicit financial flows? An empirical study of trade data discrepancies

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