Forecasting using high-frequency data : a comparison of asymmetric financial duration models
Year of publication: |
2009
|
---|---|
Authors: | Zhang, Qi ; Cai, Charlie X. ; Keasey, Kevin |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 28.2009, 5, p. 317-386
|
Subject: | Prognoseverfahren | Forecasting model | Autokorrelation | Autocorrelation | Marktmikrostruktur | Market microstructure |
-
Engle, Robert F., (1995)
-
Forecasting Using High-Frequency Data : A Comparison of Asymmetric Financial Duration Models
Zhang, Qi, (2010)
-
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo, (2022)
- More ...
-
Market reaction to earnings news : a unified test of information risk and transaction costs
Zhang, Qi, (2013)
-
Zhang, Qi, (2014)
-
Jiang, Ping, (2014)
- More ...