Determinants of inter-trade durations and hazard rates using proportional hazard ARMA models
Frank Gerhard; Nikolaus Hautsch
| Year of publication: |
2000
|
|---|---|
| Authors: | Gerhard, Frank |
| Other Persons: | Hautsch, Nikolaus (contributor) |
| Publisher: |
Konstanz : Univ., Center of Finance and Econometrics |
| Subject: | Wertpapierhandel | Securities trading | Dauer | Duration | Börsenkurs | Share price | Informationsverhalten | Information behaviour | Marktmikrostruktur | Market microstructure | Mikroökonometrie | Microeconometrics | Theorie | Theory | ARMA-Modell | ARMA model | Schätzung | Estimation | Zinsderivat | Interest rate derivative | Deutschland | Germany |
freely available
| Extent: | 33 S. |
|---|---|
| Series: | Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz. - Konstanz, ZDB-ID 2172014-9. - Vol. 00,20 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. 22 - 23 |
| Classification: | C25 - Discrete Regression and Qualitative Choice Models ; C32 - Time-Series Models ; C41 - Duration Analysis ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013436039