A state-space modeling of the information content of trading volume
Khaladdin Rzayev, Gbenga Ibikunle
| Year of publication: |
2019
|
|---|---|
| Authors: | Rzayev, Khaladdin ; Ibikunle, Gbenga |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 46.2019, p. 1-19
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| Subject: | High-frequency trading | Market quality | Permanent component | State-space modeling | Time series models | Trading volume | Transitory component | Handelsvolumen der Börse | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Elektronisches Handelssystem | Electronic trading | Volatilität | Volatility | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2019.100507 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012317879