Modelling and forecasting liquidity supply using semiparametric factor dynamics
Year of publication: |
2012
|
---|---|
Authors: | Härdle, Wolfgang Karl ; Hautsch, Nikolaus ; Mihoci, Andrija |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 19.2012, 4, p. 610-625
|
Publisher: |
Elsevier |
Subject: | Limit order book | Liquidity risk | Semiparametric model | Factor structure | Prediction |
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