Forecasting the intra-day effective bid ask spread by combining density forecasts
Malick Fall, Waël Louhichi and Jean Laurent Viviani
| Year of publication: |
2021
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|---|---|
| Authors: | Fall, Malick ; Louhichi, Waël ; Viviani, Jean-Laurent |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 53.2021, 50, p. 5772-5792
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| Subject: | Effective bid-ask spread | forecasting | high-frequency | multiplicative errors models | Geld-Brief-Spanne | Bid-ask spread | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Prognose | Forecast | Theorie | Theory | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Frühindikator | Leading indicator | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2021.1929821 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012627098