Impacts on stock price through mixed distribution classified information GARCH model and its application

zbMATH Open1174.91465MaRDI QIDQ3609958FDOQ3609958

Authors: Minghui Xun, Guifeng Shi 

Publication date: 6 March 2009

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zbMATH Keywords

price impactlimit ordergeneralized autoregressive conditional heteroscedasticityclassified information

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cited In (2)

• Analysis on average price of holding stock based on stock distribution model
• Co-integration test of the stock price and information flow

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