Modelling and forecasting liquidity supply using semiparametric factor dynamics
Year of publication: |
2009
|
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Authors: | Härdle, Wolfgang Karl ; Hautsch, Nikolaus ; Mihoci, Andrija |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS) |
Subject: | Wertpapierhandel | Aktienmarkt | Marktliquidität | Prognoseverfahren | Nichtparametrisches Verfahren | Faktorenanalyse | Theorie | Schätzung | Australien | Limit Order Book | Liquidity Risk | Semiparametric Model | Factor Structure | Prediction |
Series: | CFS Working Paper ; 2009/18 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 610758004 [GVK] hdl:10419/43198 [Handle] RePEc:zbw:cfswop:200918 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice |
Source: |
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