Modelling and forecasting liquidity supply using semiparametric factor dynamics

Wolfgang Karl Härdle, Nikolaus Hautsch, Andrija Mihoci

Year of publication:	2012
Authors:	Härdle, Wolfgang ; Hautsch, Nikolaus ; Mihoci, Andrija
Published in:	Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 4, p. 610-625
Subject:	Limit order book \| Liquidity risk \| Semiparametric model \| Factor structure \| Prediction \| Theorie \| Theory \| Wertpapierhandel \| Securities trading \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Prognoseverfahren \| Forecasting model \| Marktliquidität \| Market liquidity \| Faktorenanalyse \| Factor analysis \| Schätzung \| Estimation \| Australien \| Australia \| Aktienmarkt \| Stock market \| Liquidität \| Liquidity

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