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

MaRDI QIDQ3609958zbMATH OpenFDO

Authors Minghui Xun, Guifeng Shi

Publication date 6 March 2009

zbMATH Keywords

price impactlimit ordergeneralized autoregressive conditional heteroscedasticityclassified information

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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

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