Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
| Year of publication: |
1997
|
|---|---|
| Authors: | Engle, Robert F. ; Russell, Jeffrey R. |
| Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 4.1997, 2-3, p. 187-212
|
| Publisher: |
Elsevier |