A SHARP model of bid-ask spread forecasts
Luca Cattivelli, Davide Pirino
| Year of publication: |
2019
|
|---|---|
| Authors: | Cattivelli, Luca ; Pirino, Davide |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 35.2019, 4, p. 1211-1225
|
| Subject: | Bid-ask spread | Econometric models | Forecasting | Integer-valued | Liquidity | Long-memory | Seasonality | Geld-Brief-Spanne | Prognoseverfahren | Forecasting model | Theorie | Theory | Saisonale Schwankungen | Seasonal variations | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Liquidität | Prognose | Forecast |